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李睿怡 · 2023年11月14日

答案没饶明白,credit quality和asset price的correlation那段表述没看懂

NO.PZ2023101601000088

问题如下:

Sam prices a put option on an asset with the Black-Scholes-Merton option pricing model and calculates a model premium of $25. This $25 also coincidentally equals the present-valued expected exposure faced by Sam with respect to the short option position. Sam estimates the probability of counterparty default by the option writer to be 10% with loss given default of 40%, such that the expected loss = $25 EE (writer) × 10% PD × 40% LGD = $1. He concludes that the CVA-adjusted (net of counterparty risk) option price is $24. His colleague Jane observes that this calculation assumes no wrong-way risk. But there is a high, positive correlation between underlying asset price and the credit quality of the option writer counterparty: both the counterparty and underlying share a sector that reacts to the same common factors such that adverse economic regimes depress sector asset prices while lowering sector credit quality (and increasing credit spreads). Is Jane correct that the CVA-adjusted option value deserves further adjustment?

选项:

A.

As the correlation is positive, this is instead right-way risk; but the true CVA-adjusted value remains $24 as there is no adjustment for right-way risk.

B.

As the correlation is positive, this is instead right-way risk; therefore, the true CVA-adjusted value will be higher than $24.

C.

Jane is correct that this is wrong-way risk; therefore, true CVA-adjusted value will be lower than $24.

D.

Jane is correct that this is wrong-way risk but expected loss is not impacted by correlation, so Sam correctly has the CVA-adjusted value at $24.

解释:

We refer to wrong-way risk as the adverse (negative) correlation between the exposure to the counterparty and its credit quality. Alternatively, it can be stated as the positive correlation between exposure and credit spread.

没绕明白,答案没看明白,谢谢谢谢!

1 个答案

pzqa27 · 2023年11月14日

嗨,从没放弃的小努力你好:


举个栗子好了:

比如long put,这就是一个wrong way risk

我们现在long put,当我们敞口变大的时候,也就是我们赚钱的时候,标的物股价在下跌,此时我们的交易对手方的股价下跌了,那么他的违约可能性就上升了,因为公司股价下跌,公司不景气。此时信用质量就变差了,所以敞口上升,信用质量变差。

同时,信用质量变差可以体现在credit spread 变大,比如我们用R-Rf来代表spread,此时由于公司质量变差,因此人们的要求回报率变高,即R边打,假如Rf保持不变的话,credit spread 变大,那么可以说敞口上升,credit spread 变大,这俩是 positive correlation。

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努力的时光都是限量版,加油!

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