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xiaobaiybz · 2023年11月13日

老师，题中是要underweight the financial sector

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000025

问题如下：

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

选项：

A.

Purchase protection on the CDX and sell protection on the CDXFinancials 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 Financialssubindex is a “short” credit spread riskposition, leaving the investor with a long index position without exposure tofinancial reference entities in the CDX index. Both A and C increase exposure to financial sector issuers.

老师，题中是要underweight the financial sector，那不是应该 buy the protection on the cdx 吗？谢谢

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1 个答案

pzqa015 · 2023年11月14日

嗨，从没放弃的小努力你好：


这是在Index和financial subindex两者中做选择，如果underweight the financial sector，应该是buy CDS on financial subindex。如果是underweight index，那么是buy CDX。

protection on the CDX指的是index对应的CDS，而不是financial subindex对应的CDS，后者对应的CDS是CDX on financials subindex。

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