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donnabbb · 2022年12月10日

请问Purchase a payer option on the CDX 怎么理解？

  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.

请问Purchase a payer option on the CDX 怎么理解？什么时候会执行

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1 个答案

pzqa015 · 2022年12月11日

嗨，从没放弃的小努力你好：


没有这种说法，C选项是凑选项的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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