开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

六姑娘 · 2021年10月15日

这题考什么知识点

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000019

问题如下：

Identify the risk in a convertible arbitrage strategy that takes long positions in convertible bonds hedged with short positions in Treasuries and the underlying stock.

选项：

A.

Short implied volatility

B.

Long duration

C.

Long stock delta

D.

Positive gamma

解释：

D is correct. This position is hedged against interest rate risk, so b. is wrong. It is also hedged against directional movements in the stock, so c. is wrong. The position is long an option (the option to convert the bond into the stock) so is long implied volatility, so a. is wrong. Long options positions have positive gamma.

这题帮忙解析下，我不太懂
添加评论
1 个答案

李坏_品职助教 · 2021年10月15日

嗨，从没放弃的小努力你好：


题干问的是，请说出可转债套利策略的风险，可转债套利策略指的是：做多（买入）一只可转债，同时做空对应的股票和债券。


这个策略是在做多可转债，而可转债（convertible bond）是内嵌一份call option 的，所以应该是long implied volatility，A项说反了。

可转债套利策略是完全对冲掉了利率的影响的（主要是因为做空了treasuries债券），所以和duration没关系，B错误。

可转债套利策略要求做空stock，手里的convertible bond的多头和stock的空头正好将delta对冲了，C错误。


D是对的

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 380

    浏览
相关问题

NO.PZ2016071602000019 问题如下 Intify the risk in a convertible arbitrage strategy thtakes long positions in convertible bon heewith short positions in Treasuries anthe unrlying stock. A.Short implievolatility B.Long ration C.Long stolt Positive gamm is correct. This position is heeagainst interest rate risk, so is wrong. It is also heeagainst rectionmovements in the stock, so is wrong. The position is long option (the option to convert the boninto the stock) so is long implievolatility, so is wrong. Long options positions have positive gamm 如题

2024-03-19 09:02 1 · 回答

NO.PZ2016071602000019 问题如下 Intify the risk in a convertible arbitrage strategy thtakes long positions in convertible bon heewith short positions in Treasuries anthe unrlying stock. A.Short implievolatility B.Long ration C.Long stolt Positive gamm is correct. This position is heeagainst interest rate risk, so is wrong. It is also heeagainst rectionmovements in the stock, so is wrong. The position is long option (the option to convert the boninto the stock) so is long implievolatility, so is wrong. Long options positions have positive gamm 老师这道题当中long lta，是不是股票只包含了一阶导的lta。（隐约在CFA还是FRM课程中听到老师提过）期权是包含了一阶导二阶导的，所以如果要想完全做neutral的策略得先将期权的二阶导对冲掉，在利用股票去对冲一阶导。所以这道题long 可转转在short 股票，已经把一阶导的变化给对冲了，所以不选C

2023-07-11 11:08 1 · 回答

NO.PZ2016071602000019 请问这一道题的如何用implievolatility 去理解对冲基金去long convertible?

2021-04-05 14:08 1 · 回答

     这道题不是在问该策略的风险吗？long positive gamma对于投资者应该是有利的呀

2019-11-07 21:26 1 · 回答