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410140980 · 2023年07月19日

WWR和RWR对比

  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。

老师这里的B选项选项说是站在foreigner currency investor的角度来看，那它的对手方是谁呢？这里我看不出来，对于B选项要怎么分析

C选项credit risk exposure和PD是positive 关系啊，虽然都是同时下降，那也应该属于WWR啊，那C也不对啊

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品职答疑小助手雍 · 2023年07月24日

注意讲义330页里WWR的定义，第一句话就是unfavorable dependence between exposure and counterpart credit quality，PD和EAD同时增加才算是WWR，同时减少不算。


品职答疑小助手雍 · 2023年07月20日

同学你好，C选项说PD和EAD同时下降的情况算是好事情，而且他俩不一定会同时上升。

经济好的时候股价上涨EAD变大，但是因为经济好了企业扛得住，所以PD不一定同时上涨。

410140980 · 2023年07月23日

C选项是说PD和EAD同时下降，都下降，那PD和EAD不就是positive correlation吗？老师不是说PD喝EAD是positive correlation的时候就是WWR吗

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