题干:Chan believes US macroeconomic data are improving and that the general economy will strengthen in the short term. Chan suggests that a curve trade could be used by the fund to capitalize on her short-term view of a steepening of the US credit curve.
(Institute 284)
答案:
To take advantage of Chan’s view of the US credit curve steepening in the short term, a curve trade will entail shorting (buying protection) a long-term (20-year) CDX and going long (selling protection) a short-term (2-year) CDX. A steeper curve means that long-term credit risk increases relative to short-term credit risk.
(Institute 288)
Institute, CFA. 2018 CFA Program Level II Volume 5 Fixed Income and Derivatives. CFA Institute, 07/2017. VitalBook file.
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我有两个问题,首先这里long和short有点搞不清,为什么买CDS是short?
其次,为什么利率曲线更陡峭(远期利率更高)意味着长期信用风险增加?我记得经济形势好的时候利率应该高呀?