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.
B选项说的是sell CDX,是指增加index的权重,而不是financial sector的权重;purchase pretection on the CDX financial subindex是增加financial sector的权重,这道题的CDX和financial subindex是两个不同的CDS指数产品,对应不同的敞口,前者对应的是大盘(index),后者对应的是financial sector。
1.sell CDX protection,卖保险,主动承担风险,相当于买入权重(大盘)
2.买CDX financial subindex protection,买保险,卖出风险,卖债券,相当于卖出financial sector,降低部分权重
对吗?请指正,麻烦老师说话别理所当然,按照学生问题讲题,仔细看条件,用题目中术语作答,谢谢