韩韩_品职助教 · 2020年12月05日
Short squeeze: When short selling, shares must be located and borrowed; as a result, the stock owner may want his/her shares returned at a potentially inopportune time, such as during stock price run-ups or when supply for the stock is low or demand for the stock is high. This situation, particularly a short squeeze, can lead to substantial losses and a suddenly unbalanced exposure if borrowing the underlying equity shares becomes too difficult or too costly for the arbitrageur.
Credit issue: Credit issues may complicate valuation since bonds have exposure to credit risk. When credit spreads widen or narrow, there would be a mismatch in the values of the stock and convertible bond positions that the convertible manager may or may not have attempted to hedge away.
韩韩_品职助教 · 2020年12月05日
Time Decay: The convertible bond arbitrage strategy can lose money due to time decay of the convertible bond’s embedded call option during periods of reduced realized equity volatility and/ or due to a general compression of market implied volatility levels.
