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早睡早起快乐学习 · 2022年10月11日

wrong way risk是啥

NO.PZ2016072602000031

问题如下:

Counterparty A is an American company with manufacturing operations in Indonesia and its main customers in the United States, while counterparty B is an American company that manufactures its goods domestically and exports solely to Indonesia. Which one of the following transactions with either counterparty will be a wrong-way exposure for a bank?

选项:

A.

A five-year plain-vanilla IDR/USD cross-currency swap between the bank and counterparty A where the bank is USD interest rate receiver

B.

A five-year plain-vanilla IDR/USD currency option sold by the bank to counterparty A for it to buy IDR at a certain rate

C.

A five-year plain-vanilla IDR/USD cross-currency swap between the bank and counterparty B where the bank is USD interest rate receiver

D.

A five-year plain-vanilla IDR/USD currency option bought by the bank from counterparty B for the bank to buy IDR at a certain rate

解释:

C is correct. This is an example of a wrong-way exposure, where a gain on the instrument for the bank is associated with a higher probability of default (PD) for its counterparty. If the IDR depreciates, counterparty A will make a profit because its costs will go down in dollars; conversely for counterparty B, because its dollar revenues will decrease. Under c., the company pays USD and receives IDR. This transaction will create a loss if the IDR depreciates. In this situation, counterparty B will lose money as well on its exports. Hence, this is a wrong-way trade.

wrong way risk是哪里的知识点呀?
1 个答案

李坏_品职助教 · 2022年10月11日

嗨,爱思考的PZer你好:


这个概念是FRM二级信用风险的重点,参考基础班credit risk讲义P314:

WWR指的是风险敞口和交易对手方的信用质量直接存在正的相关性。


比如你去找银行A买了一份银行A的看跌期权,现在期权有盈利,说明银行A的股价跌的很多,银行A的违约概率增加了。虽然你手里的看跌期权有盈利,但盈利(风险敞口)越大,对手方银行A的违约概率越高,可能无法兑现盈利。这就是WWR

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