【操作風(fēng)險管理與測量】FRM二級每日試題精選
A common trade during 2004 and 2005 was to sell protection on the equity tranche and buy protection of the mezzanine tranche of the CDX.NA.IG index. Which of the following statements regarding this trade is least accurate?
- The trade was set up to be default-risk neutral at initiation.
- The trade was short credit spread risk on the equity tranche and long credit spread risk on the mezzanine tranche.
- The main motivation for the trade was to achieve a positively convex payoff profile.
- The trade was designed to benefit from credit spread volatilities.
Answer: B
The trade was long credit and credit spread risk on the equity tranche and short credit and credit spread risk on the mezzanine tranche. The other statements are accurate
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