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

玛塔玛塔 · 2025年06月19日

思考方法

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.

请问这道题可以理解成增加financial sector exposure所以我要long bond on financial sector,因此sell protection吗

1 个答案

发亮_品职助教 · 2025年06月20日

是的,思考的逻辑完全正确,CDS的判断就是从这个角度分析的。


从这道题的题目要求看:underweight the financial sector versus an index

题目要求是:和index相比,降低financial sector的权重。

那就是index的权重相对上升,financial sector的权重相对下降。


要增加index权重,则应该long index bond,转换到CDS就是Sell CDS protection on index,主动卖出Index的保险,这样可以获得index的风险头寸。


而要降低financial sector的exposure,则应该是short financial sector bond,对应是buy CDS protection on Financial sector。主动买入金融板块的保险,买入保险转移风险,不再承担financial sector的exposure,这会降低整个金融板块的头寸。符合题目要求。

  • 1

    回答
  • 0

    关注
  • 4

    浏览
相关问题

NO.PZ2021120102000025 问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx. B.Sell protection on the C anpurchase protection on the C Financials subinx. C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. 为什么前者C是对应的大盘?没有说on inx 呀

2025-05-18 17:26 1 · 回答

NO.PZ2021120102000025 问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx. B.Sell protection on the C anpurchase protection on the C Financials subinx. C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. 这道题是说要降低financi的敞口,所以要buy protection on the C financials sub-inx。那为啥还要多此一举Sell protection on the C?

2025-03-17 12:05 1 · 回答

NO.PZ2021120102000025问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx.B.Sell protection on the C anpurchase protection on the C Financials subinx.C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. purchase a payer option on C 啥意思

2024-04-15 18:54 1 · 回答

NO.PZ2021120102000025 问题如下 Whiof the following cret portfolio positioning strategies isthe most appropriate to unrweight the financisector versus inx? A.Purchase protection on the C ansell protection on the CFinancials subinx. B.Sell protection on the C anpurchase protection on the C Financials subinx. C.Purchase a payer option on the C ansell protection on the C Financials subinx. B is correct. Selling protection on the C inx is a“long” cret sprerisk position, while purchasing protection on the C Financialssubinx is a “short” cret spreriskposition, leaving the investor with a long inx position without exposure tofinancireferenentities in the C inx. Both A anC increase exposure to financisector issuers. versus inx是指啥

2024-01-13 18:58 1 · 回答