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.
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。
1.sell CDX protection,卖保险，主动承担风险，相当于买入权重（大盘）
2.买CDX financial subindex protection，买保险，卖出风险，卖债券，相当于卖出financial sector，降低部分权重
对吗？请指正，麻烦老师说话别理所当然，按照学生问题讲题，仔细看条件，用题目中术语作答，谢谢
