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410140980 · 2023年07月20日

Ace Bank will suffer a credit loss

NO.PZ2020033002000066

问题如下:

White, a manufacture company, borrowed USD 500 million from Ace Bank. To hedge its debt exposure to White, Ace Bank enters into a credit default swap transaction with City Bank, where City Bank would fully compensate Ace Bank if White defaults. If the defaults of Ace Bank, City Bank, and White are independent and assume their default probabilities are 0.5%, 0.6%, and 4.0%, respectively. What is the probability that Ace Bank will suffer a credit loss in its exposure to White?

选项:

A.

4.0%

B.

0.6%

C.

0.02%

D.

0.024%

解释:

D is correct.

考点:CDS

解析:

当 White 违约且 City Bank 也违约的时候, Ace Bank 要遭受 credit loss.

0.6% * 4.0% = 0.024%

老师这道题和前面几道题我感觉如果一个公司买了其他公司的债券,同时又买了CDS,这种情况这个公司要遭受违约的话,一定是其他公司的债券和CDS同时违约才会发生credit loss。

这个知识点在哪见过啊?

1 个答案

品职答疑小助手雍 · 2023年07月20日

同学你好,这个很自然的概率计算,逻辑上就是只有公司和CDS卖家同时违约,这个公司才会收到损失。那直接根据逻辑算概率就行了。