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还是星宇好 · 2020年10月07日

问一道题:NO.PZ2019052001000069

问题如下:

During 2004 and 2005, a popular strategy in credit markets for hedge funds, banks, and brokerages was to sell protection on the equity tranche and buy protection on the mezzanine tranche of the investment-grade CDS index. Which of the following statements regarding this trade is least accurate?

选项:

A.

The trade was designed to be default-risk neutral at initiation with equal credit spread sensitivities on the two legs.

B.

This strategy is profitable when the CDS index spread between equity and mezzanine wides.

C.

The motivation of the trade was to have a positively convex payoff profile with the two positions benefiting from credit spread volatility.

D.

The trade was long credit spread risk on the equity tranche and short credit spread risk on the mezzanine tranche.

解释:

B is correct.

考点:credit market in early 2005

解析:这个交易是long credit spread risk on the equity tranche,同时short credit spread risk on the mezzanine tranche。最开始是default-neutral的,通过凸性在spread波动中赚差价。equity和mezzanine的spread变大策略会亏钱。

这个题我能理解,我只是想问一下讲义上的一点内容

Sell protection on the equity tranche of the CDX.NA.IG; i.e., long credit and credit spread risk,sell相当于收保费,但后面这里为啥是 long credit and credit spread risk啊,怎么long credit 难道不是做多风险的意思吗?

对应的通过 mezzanine short credit and credit-spread risk是啥意思

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已采纳答案

袁园_品职助教 · 2020年10月08日

同学你好!

1. 你收了保费不就要承担风险吗?

2. 题目中说 buy protection on the mezzanine tranche 也就是给 mezzanine 买了保险,相当于把风险转移出去了,不用承担风险了

Btw,下次如果是提问讲义上的内容麻烦贴一下讲义截图,方便我们更高效的答疑,谢谢!

还是星宇好 · 2020年10月08日

是的,卖保险=long credit =做多风险,估计是看的时候没仔细

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