NO.PZ202112010200002902
问题如下：
Which of the following is the most appropriate credit portfoliopositioning strategy to capitalize on an expected economic contraction?
选项：
A.
Buy protection on the 5-year CDX HY index and sell protection onthe 5-year CDX IG index in approximately equal notional amounts.
B.
Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.
C.
Buy protection on the 10-year CDX HY index and sell protection on the 5-year CDX HY index using a contract with a notional amount equal to 1.85 times that of the 10-year contract.
解释：
A is correct. Because an economic contraction is oftenassociated with a sharp rise in shorter-term high-yield spreads and spread curveflattening in investment grade and inversion in high yield, the mostappropriate choice is to take a short risk(purchase protection) in five-year high-yield spreads and a long position (sellprotection) in five-year investment-grade spreads.
Answers B and C position the investor to benefit from a steeperinvestment-grade and high-yield spread curve,respectively.
在经济危机时，信用利差不是整体向上的嘛？为啥b和c选项不对呢？
