NO.PZ2021120102000020
问题如下:
Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?
选项:
A. Enter into a receive fixed, pay floating asset swap, unwinding the
swap position once the illiquid bond position is sold.
B. Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.
C. Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.
解释:
C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.
这道题做对了,但感觉还是没太看懂a和b,能否帮忙详细解释一下?