账面浮盈和浮亏

问题如下：

A risk analyst at a bank is calculating credit risk for various types of assets in the bank’s portfolio. The analyst begins by estimating the parameters used as inputs to these calculations, and encounters several challenges while doing so. Which of the following will the analyst find to be correct regarding the estimated inputs for credit risk calculations?

选项：

A.

The probability of default of a derivative counterparty often increases as the bank’s exposure at default with respect to that derivative position increases.

B.

The loss given default for a derivative transaction is typically negatively correlated with the counterparty’s probability of default.

C.

Banks must make both through-the-cycle and point-in-time estimates of loss given default to comply with both regulatory requirements and accounting standards.

D.

Current exposure is typically used to estimate exposure at default for a line of credit in order to provide a conservative estimate.

解释：

中文解析：

A是正确的。这就是所谓的WWR。当公司处在账面浮盈（此时交易对手是账面浮亏）时，交易对手更有可能违约。

B是不正确的。违约时的损失与违约概率呈正相关（回收率与违约概率呈负相关）。

C是不正确的。银行必须同时进行整个周期和时间点的违约概率估计，而不是估计违约时的损失，以遵守监管要求和会计准则。

D不正确。在有授信额度的情况下，EAD（风险敞口）可以被保守地估计为客户的借款限额，而不是当前提取的金额。

------------------------------------------------------------------------------------------------------------

A is correct. This is what is termed wrong-way risk. This is the risk associated with the fact that a counterparty to a company may be more likely to default when the value of outstanding derivatives is negative to the counterparty (and therefore positive to the company).

B is incorrect. The loss given default is positively correlated with probability of default (recovery rate is negatively correlated with probability of default).

C is incorrect. Banks must make both through-the-cycle and point-in-time estimates of the probability of default, not the loss given default, to comply with both regulatory requirements and accounting standards.

D is incorrect. In the case of a line of credit, EAD can be conservatively estimated as the customer’s borrowing limit, not the current amount drawn down.