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尼罗河船长 · 2022年01月18日

Tail risk

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidityrisk of a less frequently traded bond position in an active manager’sportfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding theswap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” riskpositions that would increase rather than offset the benchmark yield and credit spread riskto the portfolio manager related to the illiquidbond.

何老师讲tail risk 那小节的时候，90，99%分位点用的k值是1.96和2.33 我记得之前学的是1.65-90  1.96-95  2.58-99

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已采纳答案

pzqa015 · 2022年01月18日

嗨，从没放弃的小努力你好：


你说的是双尾分布，这是单尾分布。

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