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FrankSun · 2022年12月18日

答案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.

突然忘了答案A和B是哪里错了，麻烦解析一下。

谢谢

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1 个答案

pzqa015 · 2022年12月19日

嗨，从没放弃的小努力你好：


A说反了，应该是pay fixed ,receive float的asset swap。

B也说反了，应该是buy CDS protection。

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