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Tong · 2025年05月18日

为什么前者CDX是对应的大盘?没有说on index 呀

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.

为什么前者CDX是对应的大盘?没有说on index 呀

1 个答案

发亮_品职助教 · 2025年05月19日

CDX默认是底层资产为Index的CDS

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