NO.PZ2020033003000087
问题如下:
Regarding total revenue swaps (TRS), which of the following statements is not correct?
选项:
A. When the TRS payer does not own the underlying asset, the cash flow of the swap can be viewed as the cash flow of short position in the underlying
B. The receiver of TRS receives the cash flow and benefits if the value of the reference asset rises.
C. The benefits of TRSs are similar to those of CDSs. For TRS, both credit risk and market risk are transferred, while for CDSs, only credit risk is transferred.
D. The receiver is creating a synthetic
short position in the underlying asset.
解释:
D is correct.
考点:Total return swaps
解析:receiver相当于一个合成的这个underlying asset的long方,而不是short 方所以D错。
实在没理解,想了半天,谢谢老师