开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Anne · 2025年05月28日

假如是主观题，是该选IG还是HY bond呢，依据是什么？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002901

问题如下：

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.

5年和10年的选择和计算上没有问题。假如是主观题，是该选IG还是HY bond呢，为什么？

添加评论
1 个答案

发亮_品职助教 · 2025年05月28日

这道题的题干说steepening of investment-grade credit spread curve，给了IG债券的信息，所以只能做IG的策略。这道题不能做HY的策略。


一般做啥策略具体看题目给的利率信息。如果是给了IG credit curve的改变，那就做IG策略。给的是HY credit curve的信息，就做HY策略。


两条curve都给的话，就看哪条curve带来的盈利最大。比如两条曲线都是发生steepening，但是HY credit spread的steepening幅度更大，那在HY credit spread curve上做策略的盈利就更大。

不过一般基本就是给哪个曲线的变动（HY or IG），就做对应的债券的策略。

  • 1

    回答

  • 0

    关注

  • 4

    浏览
相关问题

NO.PZ202112010200002901 问题如下 Selethe most appropriate cret portfolio positioning strategyto capitalize on expectesteepening of the investment-gra cret spreaurve. A.Sell protection on the 10-yeC IG inx anpurchaseprotection on the 5-yeC IG inx using contracts of equnotionvalue. B.Sell protection on the 10-yeC IG inx anpurchase protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C.Buy protection on the 10-yeC IG inx ansell protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C is correct. The investor benefits from a short risk(protection buyer) on the 10-yeC IG inx anlong risk (protection seller) onthe 5-yeC IG inx, ration matching thenotionvalue increasing 5-yenotion1.82 times (=8.9/4.9) versus the 10-year. 达到ration Neutral之后，无论我怎么买卖C，整体Portfolio都不会受到YielCurve平行移动的影响吗？这样就可以专注于两个点利率的Cret sprea相对改变？

2025-03-17 12:25 2 · 回答

NO.PZ202112010200002901 问题如下 Selethe most appropriate cret portfolio positioning strategyto capitalize on expectesteepening of the investment-gra cret spreaurve. A.Sell protection on the 10-yeC IG inx anpurchaseprotection on the 5-yeC IG inx using contracts of equnotionvalue. B.Sell protection on the 10-yeC IG inx anpurchase protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C.Buy protection on the 10-yeC IG inx ansell protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C is correct. The investor benefits from a short risk(protection buyer) on the 10-yeC IG inx anlong risk (protection seller) onthe 5-yeC IG inx, ration matching thenotionvalue increasing 5-yenotion1.82 times (=8.9/4.9) versus the 10-year. 如题，做题时何时需要考虑ration neutral,何时又不需要呢？

2023-01-08 20:38 1 · 回答

NO.PZ202112010200002901 问题如下 Selethe most appropriate cret portfolio positioning strategyto capitalize on expectesteepening of the investment-gra cret spreaurve. A.Sell protection on the 10-yeC IG inx anpurchaseprotection on the 5-yeC IG inx using contracts of equnotionvalue. B.Sell protection on the 10-yeC IG inx anpurchase protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C.Buy protection on the 10-yeC IG inx ansell protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C is correct. The investor benefits from a short risk(protection buyer) on the 10-yeC IG inx anlong risk (protection seller) onthe 5-yeC IG inx, ration matching thenotionvalue increasing 5-yenotion1.82 times (=8.9/4.9) versus the 10-year. 头寸方向没有问题，1.82哪来的？什么意思？

2022-05-25 05:37 2 · 回答

NO.PZ202112010200002901问题如下 Selethe most appropriate cret portfolio positioning strategyto capitalize on expectesteepening of the investment-gra cret spreaurve. A.Sell protection on the 10-yeC IG inx anpurchaseprotection on the 5-yeC IG inx using contracts of equnotionvalue. B.Sell protection on the 10-yeC IG inx anpurchase protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C.Buy protection on the 10-yeC IG inx ansell protection on the 5-yeC IG inx using a contrawith a notionamount equto 1.82 times thof the 10-yecontract. C is correct. The investor benefits from a short risk(protection buyer) on the 10-yeC IG inx anlong risk (protection seller) onthe 5-yeC IG inx, ration matching thenotionvalue increasing 5-yenotion1.82 times (=8.9/4.9) versus the 10-year. 这个具体怎么分析呢？谢谢！

2022-04-19 10:26 2 · 回答