问题如下图：
d选项不对吧 头寸方向反掉了啊。
选项：
A. 
B. 
C. 
D. 
解释：
orange品职答疑助手 · 2019年07月21日
同学你好。D选项其实没有说反，因为它是从credit spread的角度来描述的。我们称组合的策略为：买mezzanine层的cds，卖equity层的cds（当相关性上升时，我可以赚得更多）。而构建这个组合，即long这个portfolio，对应的是short这个组合的credit spreads。所以如果说的是credit pread risk，那long、short，就会正好和cds的long、short相反。FRM一般只说long CDS，而不说short credit spread risk，CFA里才会这样说。所以这里大概了解一下这种说法就行了。
NO.PZ2019052001000069 问题如下 ring 2004 an2005, a populstrategy in cret markets for hee fun, banks, anbrokerages wto sell protection on the equity tranche anbuy protection on the mezzanine tranche of the investment-gra C inx. Whiof the following statements regarng this tra is least accurate? A.The tra wsigneto fault-risk neutrinitiation with equcret spresensitivities on the two legs. B.This strategy is profitable when the C inx sprebetween equity anmezzanine wis. C.The motivation of the tra wto have a positively convex payoff profile with the two positions benefiting from cret sprevolatility. The tra wlong cret risk on the equity tranche anshort cret risk on the mezzanine tranche. B is correct. 考点cret market in early 2005解析这个交易是long cret risk on the equity tranche，同时short cret risk on the mezzanine tranche。最开始是fault-neutral的，通过凸性在sprea动中赚差价。equity和mezzanine的sprea大策略会亏钱。 1).Bsprebetween mezzanine tranche anequity tranche wins是correlation between mezzanine tranche anequity tranche下降的意思吗？二者sprea大，equity tranche自己的sprea大，equity风险更大，是这么推出来的吗？2).ong cret risk on equity tranche是指买入（承担）equity的风险，即short equity C吗？
NO.PZ2019052001000069问题如下 ring 2004 an2005, a populstrategy in cret markets for hee fun, banks, anbrokerages wto sell protection on the equity tranche anbuy protection on the mezzanine tranche of the investment-gra C inx. Whiof the following statements regarng this tra is least accurate? A.The tra wsigneto fault-risk neutrinitiation with equcret spresensitivities on the two legs.B.This strategy is profitable when the C inx sprebetween equity anmezzanine wis.C.The motivation of the tra wto have a positively convex payoff profile with the two positions benefiting from cret sprevolatility.The tra wlong cret risk on the equity tranche anshort cret risk on the mezzanine tranche. B is correct. 考点cret market in early 2005解析这个交易是long cret risk on the equity tranche，同时short cret risk on the mezzanine tranche。最开始是fault-neutral的，通过凸性在sprea动中赚差价。equity和mezzanine的sprea大策略会亏钱。 老师，A说two legs是什么意思？谢谢。
NO.PZ2019052001000069问题如下ring 2004 an2005, a populstrategy in cret markets for hee fun, banks, anbrokerages wto sell protection on the equity tranche anbuy protection on the mezzanine tranche of the investment-gra C inx. Whiof the following statements regarng this tra is least accurate? A.The tra wsigneto fault-risk neutrinitiation with equcret spresensitivities on the two legs. B.This strategy is profitable when the C inx sprebetween equity anmezzanine wis. C.The motivation of the tra wto have a positively convex payoff profile with the two positions benefiting from cret sprevolatility. The tra wlong cret risk on the equity tranche anshort cret risk on the mezzanine tranche. B is correct. 考点cret market in early 2005解析这个交易是long cret risk on the equity tranche，同时short cret risk on the mezzanine tranche。最开始是fault-neutral的，通过凸性在sprea动中赚差价。equity和mezzanine的sprea大策略会亏钱。 不是说卖equity C 收到保费，买入mezzanine C 支付保费，如果equity和mezzanine的sprea大，这样收到保费和支付保费之间的gap就会变大，赚到的钱不是更多吗？ 我是这样认为的，不知道哪里错了，请老师指正一下。
NO.PZ2019052001000069问题如下ring 2004 an2005, a populstrategy in cret markets for hee fun, banks, anbrokerages wto sell protection on the equity tranche anbuy protection on the mezzanine tranche of the investment-gra C inx. Whiof the following statements regarng this tra is least accurate? A.The tra wsigneto fault-risk neutrinitiation with equcret spresensitivities on the two legs. B.This strategy is profitable when the C inx sprebetween equity anmezzanine wis. C.The motivation of the tra wto have a positively convex payoff profile with the two positions benefiting from cret sprevolatility. The tra wlong cret risk on the equity tranche anshort cret risk on the mezzanine tranche. B is correct. 考点cret market in early 2005解析这个交易是long cret risk on the equity tranche，同时short cret risk on the mezzanine tranche。最开始是fault-neutral的，通过凸性在sprea动中赚差价。equity和mezzanine的sprea大策略会亏钱。 This strategy is profitable when the C inx sprebetween equity anmezzanine wis.如讲义128页的图所示，不是差距越大的时候portfolio的那条线越凸吗？
This strategy is profitable when the C inx sprebetween equity anmezzanine wis. The motivation of the tra wto have a positively convex payoff profile with the two positions benefiting from cret sprevolatility. The tra wlong cret risk on the equity tranche anshort cret risk on the mezzanine tranche. B is correct. 考点cret market in early 2005 解析这个交易是long cret risk on the equity tranche，同时short cret risk on the mezzanine tranche。最开始是fault-neutral的，通过凸性在sprea动中赚差价。equity和mezzanine的sprea大策略会亏钱。 想问下此题对应讲义第几页？