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世纪之龙5 · 2024年03月19日

所以是duration 和 delta都被对冲掉了吗

  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.

如题

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pzqa39 · 2024年03月19日

嗨，从没放弃的小努力你好：


是的。

可转债是长期债务工具，通常有较长的到期期限，因此有duration risk，这是指债券价格对利率变动的敏感度。投资者可以通过卖空与可转债有相似期限的国债来对冲这种利率风险。这样，如果利率上升导致债券价格下跌，国债的空头头寸会盈利，从而抵消可转债价值的减少。

可转债具有与其相关联的股票类似的性质，因为它们可以转换成一定数量的股票。所以，可转债有一个正delta，即债券价值对股票价格变动有正向敏感度。如果股票价格下跌，卖空股票的头寸会产生盈利。

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努力的时光都是限量版，加油！

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