李同学2018-05-17 00:29:08
老师您好,请解释一下Reading39的第一个case的2题和5题
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Vincent2018-05-17 16:31:27
同学你好
1) “There is severe near-term stress in the financial markets and UNAB’s credit curve clearly reflects
the difficult environment.” 说明近期信用恶化,短期的credit spread会高于长期的credit spread, 于是曲线是近端高,远端低。
2) DA买入CDS, 好比买入一个保险价值10元,现在信用市场恶化,spread上升200bps, 那么我之前买入的保险就更值钱了,我现在把这个保险卖掉,可以赚钱
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