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Carina9999 · 2022年05月09日

为什么不是A

  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.

题目中要underweight the financial sector versus an index, 那就是要short financial sector的头寸，对应的不是应该buy protection on CDS吗？

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pzqa015 · 2022年05月10日

嗨，努力学习的PZer你好：


对呀，short financial sector的头寸，就要买CDS on financial subindex，所以选的B。

A是sell CDS on financial subindex。

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pzqa015 · 2022年05月11日

嗨，从没放弃的小努力你好：


在这道题的语义下，sell protection on the CDX是指index的CDX

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加油吧，让我们一起遇见更好的自己！

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