NO.PZ2018091706000060
问题如下：
Charles Hollingsworth is an investment strategist at
Drawbridge Asset Partners (Drawbridge), an international investment firm. He is
meeting with equity analyst Andrew Gillibrand and fixed-income analyst Eliana
Navarro to discuss new investment opportunities and the economic factors they
should consider as they make their investment selections.
Hollingsworth begins the meeting with the
following statement:
"Before we look at new investment
opportunities, I want to review some prior transactions. A few months ago,
Drawbridge entered into a carry trade in a set of currencies. This morning, we
were unfortunately forced to close out the position at a sizable loss as a
result of unexpected market volatility."
The primary factor that was most likely the
cause of Drawbridge's outcome in its carry trade was:
选项：
A. flight to safety
B. leverage
C. stop-loss orders
解释：
The primary reason for crash risks is related
to the fact that carry trades are leveraged: The low-yield currency is
borrowed, with proceeds invested in the high-yield currency. The leverage
magnifies the effect of losses and gains relative to the investors' equity
base. In low-volatility markets, investors can become complacent and allow
positions to grow large in a search for yield. This crowded positioning tends
to unwind rapidly when a market shock occurs because many traders try to exit their
positions almost simultaneously before the leverage effects wipe out their
equity. Stop-loss orders are triggered, and given the market uncertainty, there
is a flight to safety that further increases demand for the low-yield currency.
解析：崩盘风险的主要原因与套利交易杠杆化相关联:低收益货币是借入的，而收益投资于高收益货币。杠杆放大了相对于投资者权益基础的损益效应。在波动性较低的市场，投资者可能会变得过于自信，为了寻求收益而允许头寸大幅增加。当市场震荡发生时，这类头寸往往会迅速平仓，因为许多交易员试图在杠杆效应抹去他们的股本之前退出头寸。所以B选项是最根本的原因。
当止损指令被触发时，鉴于市场的不确定性，投资者纷纷转向安全资产，从而进一步增加了对低收益货币的需求。所以A、C选项只是表现，不入选。
课程里只讲到了crash risk是由high leverage 导致的，但是A和C在哪里讲的呢？
