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滴滴姐姐~ · 2021年09月12日

我来问问C

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 risk on the equity tranche and short credit 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 risk on the equity tranche,同时short credit 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。


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

这个咋对的呀?


positive convex payoff 不就是基础班讲义128页的图吗 老师说横轴是default rate呀~

我倒是也看见127页有句话“portfolio of the two positions would benefiting from credit spread volatility”

这部分老师也没太细说 可不可以详细讲讲

volatility 变咋就也能convex payoff了呢?


这个case 我理解的是说 因为对不同公司之间的CDS的corr估计有误(强行认为是static的)所以暴雷了。。这其中和volatility是啥关系呀~


谢谢老师~~

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已采纳答案

DD仔_品职助教 · 2021年09月12日

嗨,从没放弃的小努力你好:


同学你好~

这里的volatility专门指的是credit spread的变动,我们把他可以狭义的理解为变动1bp。那么这句话的意思就是因为payoff的图形是positive convex,所以credit spread上升1bp带来的亏损,小于spread下降1bp带来的收益(涨多跌少)。所以这个组合去long一个长得更快的equity层级,short一个跌的慢的mezzanine层级,那就可以赚钱啊,那就当然有motivation。

127页这个图,横轴虽然是default rate,但是default rate和credit spread是相辅相成的呀,spread变大,违约概率就上升。

这里同学掌握老师上课讲的结论内容就可以,没必要深究,性价比不高,因为这地方出题就是直接考结论的,抓住主要结论记忆,能判断出明显不正确的选项即可。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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