NO.PZ2019011002000026
问题如下:
Li is a credit analyst in a wealth management firm.
Li believes the US economy is improving, and the economy will strengthen in the short-term. Thus, the credit spread curve will become more steepening with short-term credit spread decreasing. Li wants to capitalize his view of the steepening US credit curve.
According to the information above, the curve trade that Li could use it:
选项:
A.Short short-term CDX and long long-term CDX
B.long short-term CDX and Short long-term CDX
C.Long short-term CDX and long long-term CDX
解释:
B is correct
考点:CDS的应用。
解析:
因为预测Credit curve会变得更加Steepening,短期的Credit spread会下降,因此可以卖出短期的CDS protection来赚取保费,同时可以买入长期的Protection。而卖出短期Protection,相当于主动承担了短期的Credit risk,因此是Long short-term CDS;而买入长期的Protection,相当于转移出去了长期的Credit risk,因此是Short long-term CDS。因此B正确。
CDX 是指 Index CDS吧?
前面答案中:
“CDS的标的物可以看成是Credit risk,所以Long CDS就是Long credit risk,主动承担信用风险;Short CDS就是short credit risk,转移信用风险。”
CDS 的直观理解到底是 protection 还是 credit risk?
答案解释里面 是把CDX 等同于Credit Risk(风险)的概念了吧?
我这样理解:
从Li的视角看
Curve steepen--->短期风险低---->主动买入风险=Long 短期-CDX=Sell protection(对手方视角)
--->长期风险高---->卖出风险=Short 长期CDX =Buy Proction(对水方视角)