请问cds

NO.PZ2020033002000062

问题如下：

A six-year CDS on a AAA-rated issuer is offered at 100bp with semiannual payments assuming no couterparty risk. The annualized LIBOR rate paid every six months is 4.8% for all maturities.If the yield on a six-year annual coupon bond of this issuer is 7%, is there any

arbitrage opportunity? If yes, how much is the return of the arbitrage strategy?

选项：

No, there is no arbitrage opportunity.

Yes, buy the bond and the CDS with a risk-free gain of 2.2%.

Yes, buy the bond and the CDS with a risk-free gain of 1.2%.

Yes, short the bond and sell CDS protection with a risk-free gain of 1.2%.

解释：

C is correct.

考点：CDS

解析：

Because LIBOR is flat, the fixed-coupon yield is also 4.8%, creating a spread of $700-480=220bp$ on the bond. Going long the bond and short credit via buying the CDS yields an annual profit of $220-100=120bp$ .

为什么买CDS是SHORT CREDIT,谢谢~~

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1 个答案

DD仔_品职助教 · 2023年09月12日

嗨，努力学习的PZer你好：

同学你好，

买CDS是买保险，相当于把信用风险转移给了保险的卖方，所以是等于short credit

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2020033002000062 问题如下 A six-yeC on a AAA-rateissuer is offere100with semiannupayments assuming no couterparty risk. The annualizeLIBOR rate paievery six months is 4.8% for all maturities.If the yielon a six-yeannucoupon bonof this issuer is 7%, is there any arbitrage opportunity? If yes, how muis the return of the arbitrage strategy? A.No, there is no arbitrage opportunity. B.Yes, buy the bonanthe C with a risk-free gain of 2.2%. C.Yes, buy the bonanthe C with a risk-free gain of 1.2%. Yes, short the bonansell C protection with a risk-free gain of 1.2%. C is correct.考点C解析Because LIBOR is flat, the fixecoupon yielis also 4.8%, creating a spreof 700−480=220bp700-480=220bp700−480=220on the bon Going long the bonanshort cret via buying the C yiel annuprofit of 220−100=120bp220-100=120bp220−100=120bp. 能看懂一直到，我买债券是能赚2.2%（risk premium），然后这个2.2里面有1通过C转移出去了。所以是应该考虑，我还剩1.2%损失的风险，还是应该考虑我还能赚1.2%？知道C的定价是通过无套利原理来定价的，但是没有理解到，题目这种情况是怎么个套利法？

2023-11-09 13:44 1 · 回答

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2023-07-19 15:54 1 · 回答

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