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Uyis · 2022年02月22日

能否解释下A和B

NO.PZ2021120102000020

问题如下:

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项:

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap 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” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

这道题做对了,但感觉还是没太看懂a和b,能否帮忙详细解释一下?

3 个答案
已采纳答案

pzqa015 · 2022年02月23日

嗨,从没放弃的小努力你好:




题目问的是,如何解决主动管理基金经理portfolio中交易不活跃证券(流动性差)的流动性风险问题。最直接的办法就是持有不卖,也就是C

对于A选项,进入received fixed,pay float,相当于在现有portfolio的基础上,额外又借钱买了一只债券,同时在Portfolio中illuquid 债券卖出时平仓,这个互换合约与现有的illuquid 债券没有什么关系,不会对现有债券的流动性产生影响。A选项改成received float,pay fixed债券的话,相当于通过现金流互换,把原来的债券头寸换成一只浮动利率债了(这里默认portfolio 中的illuquid 债为fixed coupon,现实中一般都是这样),就类似把illuquid 债卖出了,是可以解决liquidity risk的。

对于B选项,如果改成buy CDS protection,相当于把这只illuquid 债的风险给转出去了,也是可以解决liquidity risk的。

所以,A和B都是说反了,不但没有降低liquidity risk,相反还增加liquidity risk了。

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IVALAINE · 2023年06月16日

老师你好, 如果改成buy CDS protection,相当于把这只illuquid 债的风险给转出去了,也是可以解决liquidity risk的 我可以理解Buy CDS protection 相当于Short bond所以转出风险 但是Buy CDS protection主要解决的不是credit risk吗? buy CDS protection每个月还需要交保费, 这个Bond只要不default就算再卖不出去,烂手里insurance company也是不会赔付的, 为什么可以解决Liquidity risk呢?

pzqa015 · 2023年06月16日

嗨,努力学习的PZer你好:


老师你好, 如果改成buy CDS protection,相当于把这只illuquid 债的风险给转出去了,也是可以解决liquidity risk的 我可以理解Buy CDS protection 相当于Short bond所以转出风险 但是Buy CDS protection主要解决的不是credit risk吗? buy CDS protection每个月还需要交保费, 这个Bond只要不default就算再卖不出去,烂手里insurance company也是不会赔付的, 为什么可以解决Liquidity risk呢?

--

你持有这只债券,流动性风险是不能卖出变现的风险,那么通过buy CDS,相当于不再持有这只债的敞口了,自然就解决无法卖出变现的风险,也就是liquidity risk。

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pzqa015 · 2022年02月22日

嗨,努力学习的PZer你好:


A:进入received fixed ,pay floating swap,增加了portfolio duration,相当于是借钱买入了一只债券,这增加了portfolio的liquidity risk而不是降低liquidity risk。

B:sell CDS protection on the illuquid bond issuer,相当于是long了这个发行人的债券,也是增加portfolio liquidity risk,而不是降低liquidity risk。

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Uyis · 2022年02月22日

这两个选项和题干中说的 a less frequently traded bond position in an active manager’s portfolio 有啥关系啊?

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