NO.PZ2020033002000075
问题如下：
Which of the following transaction is a typical part for the SPV to synthetize CDO?
选项：
A.Buying risk-free bonds and buying credit default swaps.
B.Buying risk-free bonds and selling credit default swaps.
C.Selling risk-free bonds and buying credit default swaps.
D.Selling risk-free bonds and selling credit default swaps.
解释：
B is correct.
考点：synthetic CDO
解析：
Synthetic CDO = Buy risk-free bond and short CDS
Synthetic CDO本质是不是就是一个有风险的债券，只是分了一些tranche？所以可以类比Merton model中的合成 risky bond=risk free bond+ short put（short cds）
