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Uyis · 2022年02月22日

能否解释下A和B

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

这道题做对了，但感觉还是没太看懂a和b，能否帮忙详细解释一下？

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3 个答案
已采纳答案

pzqa015 · 2022年02月23日

嗨，从没放弃的小努力你好：




题目问的是，如何解决主动管理基金经理portfolio中交易不活跃证券（流动性差）的流动性风险问题。最直接的办法就是持有不卖，也就是C

对于A选项，进入received fixed，pay float，相当于在现有portfolio的基础上，额外又借钱买了一只债券，同时在Portfolio中illuquid 债券卖出时平仓，这个互换合约与现有的illuquid 债券没有什么关系，不会对现有债券的流动性产生影响。A选项改成received float,pay fixed债券的话，相当于通过现金流互换，把原来的债券头寸换成一只浮动利率债了（这里默认portfolio 中的illuquid 债为fixed coupon，现实中一般都是这样），就类似把illuquid 债卖出了，是可以解决liquidity risk的。

对于B选项，如果改成buy CDS protection，相当于把这只illuquid 债的风险给转出去了，也是可以解决liquidity risk的。

所以，A和B都是说反了，不但没有降低liquidity risk，相反还增加liquidity risk了。

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努力的时光都是限量版，加油！

IVALAINE · 2023年06月16日

老师你好, 如果改成buy CDS protection，相当于把这只illuquid 债的风险给转出去了，也是可以解决liquidity risk的 我可以理解Buy CDS protection 相当于Short bond所以转出风险 但是Buy CDS protection主要解决的不是credit risk吗? buy CDS protection每个月还需要交保费, 这个Bond只要不default就算再卖不出去,烂手里insurance company也是不会赔付的, 为什么可以解决Liquidity risk呢?

pzqa015 · 2023年06月16日

嗨，努力学习的PZer你好：


老师你好, 如果改成buy CDS protection，相当于把这只illuquid 债的风险给转出去了，也是可以解决liquidity risk的 我可以理解Buy CDS protection 相当于Short bond所以转出风险 但是Buy CDS protection主要解决的不是credit risk吗? buy CDS protection每个月还需要交保费, 这个Bond只要不default就算再卖不出去,烂手里insurance company也是不会赔付的, 为什么可以解决Liquidity risk呢?

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你持有这只债券，流动性风险是不能卖出变现的风险，那么通过buy CDS，相当于不再持有这只债的敞口了，自然就解决无法卖出变现的风险，也就是liquidity risk。

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努力的时光都是限量版，加油！

pzqa015 · 2022年02月22日

嗨，努力学习的PZer你好：


A：进入received fixed ,pay floating swap，增加了portfolio duration，相当于是借钱买入了一只债券，这增加了portfolio的liquidity risk而不是降低liquidity risk。

B：sell CDS protection on the illuquid bond issuer，相当于是long了这个发行人的债券，也是增加portfolio liquidity risk，而不是降低liquidity risk。

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Uyis · 2022年02月22日

这两个选项和题干中说的 a less frequently traded bond position in an active manager’s portfolio 有啥关系啊？

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