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Carina9999 · 2022年05月09日

为什么不是A

NO.PZ2021120102000025

问题如下:

Which of the following credit portfolio positioning strategies is the most appropriate to underweight the financial sector versus an index?

选项:

A.

Purchase protection on the CDX and sell protection on the CDX Financials subindex.

B.

Sell protection on the CDX and purchase protection on the CDX Financials subindex.

C.

Purchase a payer option on the CDX and sell protection on the CDX Financials subindex.

解释:

B is correct. Selling protection on the CDX index is a “long” credit spread risk position, while purchasing protection on the CDX Financials subindex is a “short” credit spread risk position, leaving the investor with a long index position without exposure to financial reference entities in the CDX index. Both A and C increase exposure to financial sector issuers.

题目中要underweight the financial sector versus an index, 那就是要short financial sector的头寸,对应的不是应该buy protection on CDS吗?

2 个答案
已采纳答案

pzqa015 · 2022年05月10日

嗨,努力学习的PZer你好:


对呀,short financial sector的头寸,就要买CDS on financial subindex,所以选的B。

A是sell CDS on financial subindex。

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pzqa015 · 2022年05月11日

嗨,从没放弃的小努力你好:


在这道题的语义下,sell protection on the CDX是指index的CDX

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加油吧,让我们一起遇见更好的自己!

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