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Evelyn.Y · 2021年05月05日

请问这样回答有答到采分点上吗

NO.PZ2019122802000013

问题如下:

Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.

Describe how Short selling can create concerns for Stein’s proposed hedge fund strategy.

选项:

解释:

Since Hedge Fund 1 employs a convertible arbitrage strategy, the fund buys the convertible bond and takes a short position in the underlying security. 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.

Convertible bond arbitrage needs that bond prices changes and option’s prices changes have the same direction. If there is a different changing trending between bond price and option price, the portfolio manager would be suffered from a big losses.

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伯恩_品职助教 · 2021年05月05日

嗨,努力学习的PZer你好:


同学你好,你的回答是可以的。只是按照讲义的内容回答这些就可以了。考试的时间非常宝贵,写核心就行。

Short squeeze: the stock owner may want his/her shares returned at a potentially inopportune time, this may cause 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. 

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NO.PZ2019122802000013 如题。

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