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dognmnm · 2023年03月03日

Purchase a payer option on the CDX

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.

Purchase a payer option on the CDX 跟Purchase protection on the CDX 是一个意思吗?

2 个答案

pzqa015 · 2023年05月05日

嗨,努力学习的PZer你好:


buy CDS protection on CDS INDEX就是buy protection on the CDX


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

pzqa015 · 2023年03月04日

嗨,爱思考的PZer你好:


没有purchase a payer option on the CDX这种说法。

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加油吧,让我们一起遇见更好的自己!

小呀小田螺 · 2023年05月05日

为啥说没有这个说法呢?讲义里面不是有Payer option on CDS INDEX嘛?老师说就是有权买一个buy CDS protection on CDS INDEX

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