NO.PZ202112010200002902
问题如下：
Which of the following is the most appropriate credit portfolio positioning strategy to capitalize on an expected economic contraction?
选项：
A.Buy protection on the 5-year CDX HY index and sell protection on
the 5-year CDX IG index in approximately equal notional amounts.
Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.
Buy protection on the 10-year CDX HY index and sell protection on the 5-year CDX HY index using a contract with a notional amount equal to 1.85 times that of the 10-year contract.
解释：
A is correct. Because an economic contraction is often associated with a sharp rise in shorter-term high-yield spreads and spread curve flattening in investment grade and inversion in high yield, the most appropriate choice is to take a short risk (purchase protection) in five-year high-yield spreads and a long position (sell protection) in five-year investment-grade spreads.
Answers B and C position the investor to benefit from a steeper investment-grade and high-yield spread curve, respectively.
No.PZ202112010200002902
来源: 原版书
Which of the following is the most appropriate credit portfolio positioning strategy to capitalize on an expected economic contraction?
做题的时候我是这样想的：经济变差，HY会相对IG更差，最优策略是long HY CDS + short IG CDS 所以直接排除了B和C……
想问下思路正确么，以及这类题是否需要考虑长短期策略么？会不会再出一个选项是 long 10y HY CDS + short 5yr IG CDS 这样……