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moon · 2022年08月26日

underweight=short=buy CDS protection，所以A为什么不对呢

  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.

题目要求是underweigh the financial sector versus an index?


underweight=short=buy CDS protection，所以A为什么不对呢






Which of the following credit portfolio positioning strategies is the most appropriate to underweight the financial sector versus an index?

您的回答A, 正确答案是: B

A

不正确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.



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1 个答案

pzqa015 · 2022年08月27日

嗨，努力学习的PZer你好：




要降低financial 的敞口，所以要buy protection on the CDX financials subindex。A是sell protection on the CDX financials subindex。

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