穆同學(xué)
2022-08-21 23:37買(mǎi)入保護(hù)，是short CDS對(duì)吧。還有什么說(shuō)法？buy protection，會(huì)說(shuō)buy cds嗎？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
hongbo助教
2022-08-22 13:06
該回答已被題主采納
同學(xué)，你好
For a CDS, the underlying is the credit quality of a borrower. The terminology related to CSD is counterintuitive:
CDS的標(biāo)的資產(chǎn)是信用質(zhì)量，所以CDS的術(shù)語(yǔ)有點(diǎn)反直覺(jué)
The protection buyer is the short party (short the credit risk of the reference asset and short the CDS). Short CDS就是看跌信用質(zhì)量，就是spread擴(kuò)大時(shí)受益，所以就是買(mǎi)入保護(hù)。
The protection seller is the long party (long the CDS and long the credit risk of the reference asset). Long CDS就是看漲信用質(zhì)量，就是spread收窄時(shí)受益，所以就是賣(mài)出保護(hù)
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