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speakingcat · 2021年08月10日

题干和解释矛盾?

NO.PZ2019052001000069

问题如下:

During 2004 and 2005, a popular strategy in credit markets for hedge funds, banks, and brokerages was to sell protection on the equity tranche and buy protection on the mezzanine tranche of the investment-grade CDS index. Which of the following statements regarding this trade is least accurate?

选项:

A.

The trade was designed to be default-risk neutral at initiation with equal credit spread sensitivities on the two legs.

B.

This strategy is profitable when the CDS index spread between equity and mezzanine wides.

C.

The motivation of the trade was to have a positively convex payoff profile with the two positions benefiting from credit spread volatility.

D.

The trade was long credit spread risk on the equity tranche and short credit spread risk on the mezzanine tranche.

解释:

B is correct.

考点:credit market in early 2005

解析:这个交易是long credit spread risk on the equity tranche,同时short credit spread risk on the mezzanine tranche。最开始是default-neutral的,通过凸性在spread波动中赚差价。equity和mezzanine的spread变大策略会亏钱。

题干:sell protection on equity cdx,解释:long credit spread on equity.另一个同理。请问怎么理解?
2 个答案

品职答疑小助手雍 · 2021年11月15日

D选项:

从 credit spread risk 的角度来说,卖保险就是承担风险,所以题目中的卖equity层的cds long credit spread risk on the equity tranche;买保险就是把风险转移出去,即 买mezzanine层的cds就是 short credit spread risk on the mezzanine tranche。没错

题目让选least accurate,所以不选。

品职答疑小助手雍 · 2021年08月10日

嗨,爱思考的PZer你好:


题目中说了交易策略是 sell protection on the equity tranche and buy protection on the mezzanine tranche

那么从 credit spread risk 的角度来说,卖保险就是承担风险,即 long credit risk on the equity tranche;买保险就是把风险转移出去,即 short credit risk on the mezzanine tranche。

D带一个spread会有点歧义,我反馈一下去掉。


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小小悟空yu · 2021年11月14日

那d选项哪里错了

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