开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

蕾 · 2024年01月13日

请解释一下题干

  1. CFA III
  2. Fixed Income

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.

versus index是指啥

添加评论
1 个答案

pzqa31 · 2024年01月14日

嗨，从没放弃的小努力你好：


题目的意思是如何让financial sector的权重比Index低。这道题的CDX和CDX financial subindex是两个不同的CDS指数产品，对应不同的敞口，前者对应的是大盘（index），后者对应的是financial sector。因此降低financial sector的权重我们可以卖financial sector的债券，也可以买financial sector的CDS （CDX financial subindex）。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 282

    浏览
相关问题

NO.PZ2021120102000025问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx.B.Sell protection on the C anpurchase protection on the C Financials subinx.C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. purchase a payer option on C 啥意思

2024-04-15 18:54 1 · 回答

NO.PZ2021120102000025 问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx. B.Sell protection on the C anpurchase protection on the C Financials subinx. C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. 买了protection不是可以overweight吗？

2023-12-17 19:11 2 · 回答

NO.PZ2021120102000025 问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx. B.Sell protection on the C anpurchase protection on the C Financials subinx. C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. 看不懂题，是哪块知识点漏了吗？

2023-12-12 21:52 1 · 回答

NO.PZ2021120102000025问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx.B.Sell protection on the C anpurchase protection on the C Financials subinx.C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. 老师，题中是要unrweight the financisector，那不是应该 buy the protection on the c 吗？谢谢

2023-11-13 09:46 1 · 回答