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xiaobaiybz · 2023年11月13日

老师,题中是要underweight the financial sector

NO.PZ2021120102000025

问题如下:

Which of the following credit portfolio positioning strategies isthe most appropriate to underweight the financial sector versus an index?

选项:

A.

Purchase protection on the CDX and sell protection on the CDXFinancials 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 Financialssubindex is a “short” credit spread riskposition, leaving the investor with a long index position without exposure tofinancial reference entities in the CDX index. Both A and C increase exposure to financial sector issuers.

老师,题中是要underweight the financial sector,那不是应该 buy the protection on the cdx 吗?谢谢

1 个答案

pzqa015 · 2023年11月14日

嗨,从没放弃的小努力你好:


这是在Index和financial subindex两者中做选择,如果underweight the financial sector,应该是buy CDS on financial subindex。如果是underweight index,那么是buy CDX。

protection on the CDX指的是index对应的CDS,而不是financial subindex对应的CDS,后者对应的CDS是CDX on financials subindex。

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努力的时光都是限量版,加油!

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