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【操作风险管理与测量】FRM二级每日试题精选

发表时间:2015-03-14 来源:金程frm 告诉小伙伴:
【编者按】【操作风险管理与测量】FRM二级每日试题精选
【操作风险管理与测量】FRM二级每日试题精选
 
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?
  1. The trade was set up to be default-risk neutral at initiation.
  2. The trade was short credit spread risk on the equity tranche and long credit spread risk on the mezzanine tranche.
  3. The main motivation for the trade was to achieve a positively convex payoff profile.
  4. 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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