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