曹同學(xué)
2023-04-29 16:21Q2是擔(dān)心的債券長(zhǎng)期會(huì)違約，那不是長(zhǎng)端就應(yīng)該買入CDS進(jìn)行對(duì)沖嗎？short的是底層資產(chǎn)債券，但還是要買入long CDS啊
所屬：CFA Level II > Fixed Income 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Danyi助教
2023-04-29 21:59
該回答已被題主采納
同學(xué)你好，
對(duì)于CDS，short方就是buy CDS, long方就是sell CDS,
所以short five-year CDS就是buy five-year CDS的概念。
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追問
那不對(duì)啊，還是用這個(gè)例子，預(yù)判B的利差縮小，他是sell protection(CDS), 這么看的話，等于他buy CDS?
Apart from hedging with CDSs, Wallace is also contemplating trading ideas using them, and has been examining several companies on her shortlist. Below are her expectations on Brilliance Oil (Brilliance), Colossal Energy (Colossal), and Devotion Inc (Devotion) in the energy sector.
Expectation 1:Brilliance's credit curve will flatten, while Colossal's credit curve will steepen
Expectation 2:Brilliance credit spread will narrow, while Colossal's credit spread will widen
In response to her expectations of Brilliance and Colossal, Wallace is considering the following trade strategies:
Strategy 1:Buying short term credit protection and selling long term credit protection for Colossal
Strategy 2:Selling long term credit protection for Brilliance, while buying long term credit protection for Colossal。 -
追答
利差縮小，sell protection沒有問題，sell protection就是long方。
buy protection是short方。sell 和buy是相對(duì)的，long和short是相對(duì)的，這是兩組。 -
追問
那不是還是回到了之前的邏輯，sell protection就是賣CDS，是看多底層資產(chǎn)不會(huì)違約，所以是long方。
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追答
sell protection就是賣CDS,long方，這樣理解是正確的
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