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