答案和详解如下： 1.An investor believes that a bond may temporarily increase in credit risk. Which of the following would be the most liquid method of exploiting this? A) The sale of a credit default swap. B) The short sale of the bond. C) The purchase of a credit default swap. D) The purchase of a plain vanilla interest rate swap. The correct answer was C) If an investor believes the firm’s credit prospects are poor in the near term and wishes to capitalize on this, the investor should buy a credit default swap. Although a short sale of a bond could accomplish the same objective, liquidity is often greater in the swap market than it is in the underlying cash market. The investor could pick a swap with a maturity similar to the expected time horizon of the credit risk. By buying the swap, the investor would receive compensation if the bond experiences an increase in credit risk. Plain vanilla interest rate swaps provide positions in market-wide interest rate risk but not credit risk. 2.An investor would like to discreetly take a long position in a firm’s debt. Which of the following would be the most appropriate strategy? A) The purchase of a credit default swap. B) The purchase of a bond. C) The sale of a plain vanilla interest rate swap. D) The sale of a credit default swap. The correct answer was D) If an investor believes the firm’s credit prospects are good and wishes to discreetly capitalize on this by taking a long position, the investor should sell a credit default swap. Credit derivatives are confidential, over-the-counter contracts. By selling the swap, the investor would receive a premium up front and owe no further compensation to the swap buyer if in fact the debt does not experience credit risk. Plain vanilla interest rate swaps provide positions in market-wide interest rate risk but not credit risk. 3.Which of the following is least accurate regarding credit default swaps? A) Liquidity is usually greater in the credit default swap market than in the underlying cash market. B) Short positions are more easily obtained using credit default swaps than shorting a bond. C) Credit default swaps are available in a variety of maturities. D) The credit default swap market is highly regulated by government authorities. The correct answer was D) Credit default swaps are not highly regulated because they are confidential, over-the-counter contracts. Liquidity is often greater in the credit derivative market than it is in the underlying cash market. Over time, trading in credit default swaps has increased such that three, five, seven, and ten year maturity swaps are fairly liquid. | 
发表于 2008-5-21 12:12
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