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seven-zhu · 2022年10月27日

如题

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000078

问题如下：

Which of the following statement about Right-Way Risk(RWR) and Wrong-Way Risk(WWR) is not correct?

选项：

A.

In the 2008 financial crisis, the CDSs buyer is facing WWR.

B.

The depreciation of the foreign currency leads to losses in foreign currency transactions and increases the probability of counterparty default，the foreign currency inverstor is facing WWR.

C.

A long call option is facing RWR if both the risk exposure and counterparty default probability decrease.

D.

A long put option is facing WWR, if the risk exposure and counterparty default probability both increase.

解释：

B is correct.

考点：Wrong-Way Risk Vs. Right-Way Risk

解析：外币贬值导致外币投资的亏损，此时我方收益减少或者损失增加，在对方看来我方的违约率可能会增加。

换言之此时exposure和违约概率不会同时变大，B错误。

C，D没懂，我一直理解的是我方的exposure和对手方违约风险是正相关，就是WWR，负相关就是RWR，难道不对？  B可不可以理解为，我方的exposure下降，对手方PD上升，变动是反方向，所以应该是RWR

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1 个答案

DD仔_品职助教 · 2022年10月28日

嗨，爱思考的PZer你好：


同学你好，


你对于WWR和RWR的理解是对的，我觉得C描述有问题，D才是最正确的描述，就是PD和exposure正相关是WWR。

这里关于C选项同学需要掌握的点是：

long call的一方，在经济差的时候，股票价格下跌，那么他的exposure是下降的，对手方的违约概率增大或者减少都不一定。他可能是增加的，因为宏观经济差会增加对手方的违约概率；也有可能减少，因为敞口变小，给long call的钱不那么多，所以对手方违约风险下降。



B你的理解也是对的，我们作为foreign currency investor，当汇率下降的时候，我们的收益会下降，收益下降代表的我们面临的信用风险敞口下降（对手方欠我们的钱就变少了，敞口也就下降）。

同时，汇率下降，对手方也会出现收益下降甚至亏损，盈利变差会导致信用状况出现问题，那么我们作为foreign currency investor也就面临的对手方的违约风险上升的可能。所以，foreign currency investor是面临的RWR，而不是WWR。



C有问题，但是跟B比起来的话，B更错一些，所以选B，这里请同学掌握具体知识点即可。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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