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magico · 2020年01月26日

问一道题:NO.PZ201712110200000508

* 问题详情,请 查看题干

问题如下:

The curve trade that would best capitalize on Chan’s view of the US credit curve is to:

选项:

A.

short a 20-year CDX and short a 2-year CDX.

B.

short a 20-year CDX and go long a 2-year CDX.

C.

go long a 20-year CDX and short a 2-year CDX.

解释:

B is correct.

To take advantage of Chan’s view of the US credit curve steepening in the short term, a curve trade will entail shorting (buying protection) a long-term (20-year) CDX and going long (selling protection) a short-term (2-year) CDX. A steeper curve means that long-term credit risk increases relative to short-term credit risk.

 capitalize on her short-term view of a steepening of the US credit curve.


从题目来看,也就是说,short-term spread 变大,那么buy protection, short position。 答案是不是有误?

1 个答案
已采纳答案

吴昊_品职助教 · 2020年02月03日

嗨,努力学习的PZer你好:


答案没有问题,正确答案是B。判别CDS的头寸方向,可以将CDS看成是credit risk,买长期的保险,就是规避长期的credit risk,即short 长期CDS。同样的,卖短期保险,就是承担短期的credit risk,就是long短期CDS。现在题干中预测的是US credit curve变得更加steepening,也就是说,相对于短期,长期的credit risk更大。所以,需要买长期的Protection规避风险,对应的CDS头寸就是Short 长期 CDS;同时要卖短期的Protection承担风险,对应的CDS头寸就是Long 短期CDS。


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