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露露66 · 2023年11月26日

老师 swap initial cost不是0吗 答案为什么说costly

  1. CFA III
  2. Fixed Income

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NO.PZ202209060200004404

问题如下：

Which of Choate’s considerations regarding the precautions he can take in the portfolio is least likely correct?

选项：

A.Consideration 2

B.Consideration 1

C.Consideration 3

解释：

Solution

C is correct. Consideration 3 is incorrect. Hedging tail risks through portfolio diversification is not difficult to implement and only has modest incremental cost. Hedging with derivatives, such as credit default swaps, is effective but costly.

A is incorrect because Consideration 2 is correct.

B is incorrect because Consideration 1 is correct.

老师 swap initial cost不是0吗 答案为什么说costly

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1 个答案

pzqa015 · 2023年11月27日

嗨，从没放弃的小努力你好：


这种互换不是标准化合约，是OTC的，要一对一去找，所以是costly。

swap 是inital 没有现金流交换，并不是inital cost是0.

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