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海伦岛主 · 2020年11月27日

问一道题:NO.PZ201712110200000507

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问题如下:

Based on the three economic outlook statements, a profitable long/short trade would be to:

选项:

A.

go long a Canadian CDX IG and short a US CDX IG.

B.

short an iTraxx Crossover and go long an iTraxx Main.

C.

short electric car CDS and go long traditional car CDS.

解释:

B is correct.

Based on Outlook 1, Chan and Smith anticipate that Italy’s economy will weaken. In order to profit from this forecast, one would go short (buy protection) a high-yield Italian CDS (e.g., iTraxx Crossover) index and go long (sell protection) an investment-grade Italian CDS (e.g., iTraxx Main) index.

请问老师这个main和cross的概念在讲义中哪页呢?我怎么一点印象都没有。。

1 个答案

吴昊_品职助教 · 2020年11月27日

同学你好:

Main对应的是investment-grade,crossover对应的是high-yield。参考基础班讲义P273页。

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