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~~