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 risk on the equity tranche and short credit 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 risk on the equity tranche,同时short credit 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。
1).B选项spread between mezzanine tranche and equity tranche widens是correlation between mezzanine tranche and equity tranche下降的意思吗?二者spread变大,equity tranche自己的spread变大,equity风险更大,是这么推出来的吗?
2).D选项long credit risk on equity tranche是指买入(承担)equity的风险,即short equity CDS吗?