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IanZQ · 2023年08月06日

请问我这个逻辑哪里错了?没太想明白这里loss的逻辑。

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NO.PZ202303270300007302

问题如下:

(2) Once the manager purchases CDS protection, the issuer’s CDS spread immediately falls to 1.60%. What is the investor’s approximate mark-to-market gain or loss for a contract notional of €10,000,000?

选项:

A.

The manager realizes an approximate loss of €131,250.

B.

The manager realizes an approximate gain of €131,250.

C.

The manager realizes an approximate gain of €525,000.

解释:

A is correct. The CDS spread decline of 0.15% leads to a new CDS contract price of 94.75 per 100 face value = 1 – (EffSpreadDurCDS×ΔSpread) or (8.75×0.60%).

The protection buyer (short risk) position therefore realizes an approximate mark-to-market loss of 131,250=(94.75-93.4375)/100×10,000,000 because of the 0.15% decline in CDS spreads.

CDS price =1+(Fix coupon - CDS spread)*EffspreadDur


  1. 现在买了一个CDS,CDS price假设值100块;
  2. 然后CDS spread下降了,CDS price是不是应该升值,假设值110块了;
  3. 那对于CDS buyer,是不是gain了10块?


请问我这个逻辑哪里错了?没太想明白这里loss的逻辑。

2 个答案

pzqa015 · 2023年08月07日

嗨,努力学习的PZer你好:


根据CDS price的定价公式:1-(credit spread-fixed coupon)*ED,其中,upfront premium=(credit spread-fixed coupon)*ED,所以,CDS price =1-upfront premium。

但是请注意,CDS price并不是买卖CDS合约要支付的现金,买卖合约要支付的是upfront premium,只不过不同时间点每份合约的upfront premium不能直观看到,要根据这份CDS合约的挂牌价(CDS price)来反推。

CDS price的作用有两个,一是反推期初需要支付的upfront premium,二是计算持仓损益。


这道题,CDS price变成110,意味着upfront premium变小了,也就是说如果平仓,收到的保费少了,所以是亏损的。

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Charlotte · 2023年08月06日

我也按你这想过,虽然不知道哪里不对,但是也学会了就按老师说的思路,spread降低是卖保险方承担的风险降低了,对卖方有利。

以及你列的公式只能用在起初定价的时候😂

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NO.PZ202303270300007302 问题如下 (2) Onthe manager purchases C protection, the issuer’s C spreimmeately falls to 1.60%. Whis the investor’s approximate mark-to-market gain or loss for a contranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea to a new C contrapriof 94.75 per 100 favalue = 1 – (EffSpreaurC×ΔSprea or (8.75×0.60%). The protection buyer (short risk) position therefore realizes approximate mark-to-market loss of 131,250=(94.75-93.4375)/100×10,000,000 because of the 0.15% cline in C sprea. C 买方应该按照市场spreafixerate的差值支付。初始市场sprea1.7%, 买方应该向卖方多支付0.7%×ration;当sprea降至1.6%时,买方向卖方多支付0.6%×ration,需要额外支付的变少了,对买方是有利的。请问老师这个理解哪里不对呢?

2024-07-21 15:52 1 · 回答

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2024-07-18 15:36 1 · 回答