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mino酱是个小破货 · 2022年05月14日

请老师讲清楚,别模模糊糊的

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

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已采纳答案

pzqa015 · 2022年05月15日

嗨,努力学习的PZer你好:


sell CDX protection,卖保险,主动承担风险,增加权重,buy CDX protection,买保险,规避风险,降低权重。

B选项说的是Sell protection on the CDX ,是指增加index的权重;purchase pretection on the CDX financial subindex是降低financial sector的权重,通过sell protection on the CDX,purchase protection on the CDX financial subindex,可以实现降低financial sector的权重,增加index的权重的目的。

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