credit spread risk vs downgrade risk
if spreads widen, does buying a credit spread call hedge the portfolio?
it certainly does in real life by buying cds on countries and companies!
i have seen binary puts in the schweser material but that was related to maintaining an IG portfolio.
buying a binary ratings put does not protect for spread widening without a downgrade , or am i missing something? |
发表于 2011-7-13 15:40
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