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六姑娘 · 2021年10月15日

这题考什么知识点

  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.

这题帮忙解析下，我不太懂
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1 个答案

李坏_品职助教 · 2021年10月15日

嗨，从没放弃的小努力你好：


题干问的是，请说出可转债套利策略的风险，可转债套利策略指的是：做多（买入）一只可转债，同时做空对应的股票和债券。


这个策略是在做多可转债，而可转债（convertible bond）是内嵌一份call option 的，所以应该是long implied volatility，A项说反了。

可转债套利策略是完全对冲掉了利率的影响的（主要是因为做空了treasuries债券），所以和duration没关系，B错误。

可转债套利策略要求做空stock，手里的convertible bond的多头和stock的空头正好将delta对冲了，C错误。


D是对的

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