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Luckyman · 2022年07月07日

cdx是针对index的cds吗？

  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.

cdx是针对index的cds吗？

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1 个答案

pzqa015 · 2022年07月07日

嗨，努力学习的PZer你好：


是的，它是CDS指数，为一揽子债券提供保护。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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