NO.PZ2021120102000020
问题如下:
Which of the following strategies best addresses the liquidityrisk of a less frequently traded bond position in an active manager’sportfolio?
选项:
A.
Enter into a receive fixed, pay floating asset swap, unwinding theswap position once the illiquid bond position is sold.
B.
Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.
C.
Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.
解释:
C is correct. Both A and B represent “long” riskpositions that would increase rather than offset the benchmark yield and credit spread riskto the portfolio manager related to the illiquidbond.
Iliquid bond要解决liquidity risk用CDS有用吗?CDS不是转移credit risk吗? 用衍生品的话,是主要要把fixed CF转移出去就行吧