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Timbercc · 2022年02月01日

感觉B选项正好是与题目要求相反的，请帮忙解释一下，谢谢！

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000025

问题如下：

Which of the following credit portfolio positioning strategies is the most appropriate to underweight the financial sector versus an index?

选项：

A.

Purchase protection on the CDX and sell protection on the CDX Financials subindex.

B.

Sell protection on the CDX and purchase protection on the CDX Financials subindex.

C.

Purchase a payer option on the CDX and sell protection on the CDX Financials subindex.

解释：

B is correct. Selling protection on the CDX index is a “long” credit spread risk position, while purchasing protection on the CDX Financials subindex is a “short” credit spread risk position, leaving the investor with a long index position without exposure to financial reference entities in the CDX index. Both A and C increase exposure to financial sector issuers.

  1. 1.CDX全称是什么？在讲义哪里可以找到？
  2. 2.sell CDX的保护不是增加了creadit risk，这样不是增加了financial sector的权重吗？puechase protection of index不是增加了针对index的权重么？
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2 个答案

pzqa015 · 2022年04月05日

嗨，爱思考的PZer你好：


对，是降低。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa015 · 2022年02月02日

嗨，从没放弃的小努力你好：


1、CDX是CDS index。

2、题目问的是如何让financial sector的权重比Index低。可以卖financial sector的债券，也可以买financial sector的CDS index(CDX)。

B选项说的是sell CDX，是指增加index的权重，而不是financial sector的权重；purchase pretection on the CDX financial subindex是增加financial sector的权重，这道题的CDX和financial subindex是两个不同的CDS指数产品，对应不同的敞口，前者对应的是大盘（index），后者对应的是financial sector。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

wangtao19910225 · 2022年04月05日

回答中的：“purchase pretection on the CDX financial subindex是增加financial sector的权重”吧，应该是 降低financial sector的权重吧？

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