NO.PZ202304070100009101
问题如下：
The fair value of bond B2 is closest to:
选项：
A.€1,069.34.
€1,111.51.
€1,153.68.
解释：
Correct Answer: A
The following table shows that the CVA for the bond is €42.17, the sum of the present values of expected loss. The steps taken to complete the table are as follows.
Value of the bond
if the bond were default free would be:
€60 × DF1 + €60 × DF2 + €60 ×
DF3 +€1,060 × DF4 = €1,111.51.
Fair value of the
bond considering CVA = €1,111.51 – €42.17 = €1,069.34
老师，您好！
解析中已经算出了没有违约的情况下，债券的价格就是1111.51。那么在计算CVA的过程中，每年的风险敞口是怎么得来的呢？风险敞口应该就是未来现金流折现到假设的违约发生时的价值，不可能超过VND（1111.51）才对啊。麻烦老师补充一下，谢谢！
