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Shawnxz · 2024年07月25日

请问题目中什么关键词，提示我们应该用duration neutral呢？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202303270300007501

问题如下：

(1) Select the most appropriate credit portfolio positioning strategy to capitalize on an expected steepening of the investment-grade credit spread curve.

选项：

A.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using contracts of equal notional value.

B.

Sell protection on the 10-year CDX IG index and purchase protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

C.

Buy protection on the 10-year CDX IG index and sell protection on the 5-year CDX IG index using a contract with a notional amount equal to 1.82 times that of the 10-year contract.

解释：

C is correct. The investor benefits from a short risk (as protection buyer) on the 10-year CDX IG index and long risk (as protection seller) on the 5-year CDX IG index, duration matching the notional value by increasing 5-year notional 1.82 times (=8.9/4.9) versus the 10-year.

请问题目中什么关键词，提示我们应该用duration neutral呢？谢谢

如何想到这里是duration neutral呢

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1 个答案

发亮_品职助教 · 2024年07月26日

这个题干看不出来。


题干仅仅说了是在IG credit curve steepening时做策略。看到IG credit curve steepening，能想到的是短期的credit risk将要下降，长期的credit risk将要上升，那盈利的策略可以是多个：

策略1：Buy CDS Protection on 长期；

策略2：Sell CDS protection on 短期；

策略3：组合Buy CDS Protection on 长期 and Sell CDS protection on 短期，甚至都不用做duration-netural也可以在IG credit curve steepening下盈利。


只是说，如果投资者想要避免策略受到credit curve平行移动的影响，投资者想要把Long/short策略聚焦在短期与长期credit spread的相对变化上，如【Buy CDS Protection on 长期】就是为了赚到长期credit spread上升的收益，【Sell CDS protection on 短期】就是为了赚到短期Credit spread下降的收益，不想让组合受到Credit spread平行移动的影响。那此时可以做一个duration-neutral。但Duration-netural不是必须的！

只有题干说，策略想要避免credit spread curve平行移动的影响，此时才要做duration-neutral；或者题干说要构建一个duration-neutral，也才做duration-neutral。


这道题只能是从选项看到他的策略是duration-neutral，然后我们才知道是要做一个CDS Duration-neutral的strategy。那就在选项里找可以在steepening IG credit curve下盈利的策略。


因为这道题是一道原版书的课后题，题目肯定是质量高的，需要结合选项来直接判断。

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