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蕾 · 2024年01月13日

请解释一下题干

  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.

versus index是指啥

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1 个答案

pzqa31 · 2024年01月14日

嗨，从没放弃的小努力你好：


题目的意思是如何让financial sector的权重比Index低。这道题的CDX和CDX financial subindex是两个不同的CDS指数产品，对应不同的敞口，前者对应的是大盘（index），后者对应的是financial sector。因此降低financial sector的权重我们可以卖financial sector的债券，也可以买financial sector的CDS （CDX financial subindex）。

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努力的时光都是限量版，加油！

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