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Calliope必胜 · 2022年04月26日

B选项和D选项的表述

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?

1 个答案

DD仔_品职助教 · 2022年04月26日

嗨,爱思考的PZer你好:


1,第一句是的。

第二句spread变大表示的是equity和mezzanine两个层级间的spread变大,我们假设mezzanine不变,spread变大,那么equity的风险就会更大。假设equity层级不变也可以推出相同的结论,equity不变,spread变大,mezzanine的风险更小才会导致spread变大,那么equity相对于mezzanine而言风险还是上升了。

2,是的主动承担equity层级的信用风险,表示的就是卖equity的CDS。

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