Which of the following is the most appropriate credit portfolio positioning strategy to capitalize on an expected economic contraction?
A Buy protection on the 5-year CDX HY index and sell protection on the 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.
答案：A
