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saturn44 · 2022年04月23日

Discuss liquidity risk

官网有道题目: 能否揭示下如何思考以及答案,谢谢。

West is concerned about liquidity risk in the credit markets. She believes that since the Great Recession, liquidity has declined, and she asks Stone for his opinion on the topic. Stone replies, “First, trading volume has declined across credit markets, even for higher-quality sectors. As a result, liquidity management has become less relevant to portfolio managers as a means of adding alpha to portfolios. Second, spread changes are more pronounced during times of outflows in high-yield markets relative to investment-grade markets, particularly during times of stress. Therefore, macro forecasting of the economic and credit cycle would aid in positioning the portfolio to compensate for liquidity risk. Third, bid–ask spreads can vary over time and are a good indicator of liquidity. Wider bid–ask spreads in a market downturn create opportunities for portfolio managers to add value to portfolios.”

Q:Stone’s comments to West regarding liquidity risk in credit markets is most likely correct with regard to:

  1. spread changes.
  2. liquidity management.
  3. bid–ask spreads.


1 个答案

pzqa015 · 2022年04月24日

嗨,努力学习的PZer你好:


答案应该是spread changes吧。

第一句话

信用债市场的交易量下降,即使是高等级债券,所以,对于基金经理来说,流动性管理对于增加组合阿尔法变动不重要,这是不正确的,越是交易量下降,流动性管理越重要。

第二句话

在资金流出时期,HYB债券的spread比IG的spread变化的更多,尤其是经济下行期。对经济与信用周期的宏观预测会帮助组合管理流动性风险。这句话是正确的。

第三句话

Bid-ask spread会一直改变,是流动性风险的一个好的指示器。经济下行期bid ask spread变大给基金经理增加组合价值创造了机会。这句话的后半句错了,经济衰退期,bid ask spread变大,意味着流动性变差,并不是基金经理建仓(add value)的好时机

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