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葫芦娃吃生菜 · 2024年03月11日

请问这道题怎么理解(‧_‧?)呢

NO.PZ2023090401000096

问题如下:

Question A risk analyst at a growing bank is concerned about a loan exposure to a large manufacturing company which is losing significant market share in its industry. The analyst considers the use of different credit risk transfer mechanisms, including CDS, to manage this exposure. Which of the following statements correctly describes an appropriate benefit of using CDS in this situation?

选项:

A.

CDS quantify the manufacturing company’s default risk and allow the bank to monitor changes in this risk on a real-time basis.

B.

CDS provide an agreement to periodically revalue the loan and transfer any net value change.

C.

CDS require the manufacturing company to pay back the loan in full at an earlier point in time.

D.

CDS allow the bank to offset its exposure to the company with loan exposures to other manufacturing companies.

解释:

Explanation A is correct. CDS (or credit default swaps) are credit derivatives that quantify a company’s default risk and allow the bank to monitor changes in the company’s default risk on a real-time basis. This is an improvement over credit ratings, which only update assessments of companies’ default risk on a periodic basis. B is incorrect. This would be a feature of marking-to-market/margining. C is incorrect. This would be an example of a termination/put option mechanism. D is incorrect. CDS do not provide an offset using loan exposures to other counterparties. A separate transfer mechanism, netting, can be used to offset negative and positive exposures to the same counterparty but this statement does not correctly describe netting either.

Section Foundations of Risk Management Learning Objective Compare different types of credit derivatives, explain their applications, and describe their advantages.

Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 4. Credit Risk Transfer Mechanisms.

这道题选项是什么意思啊,怎么选择呢

1 个答案

李坏_品职助教 · 2024年03月11日

嗨,爱思考的PZer你好:


题目问你,使用CDS管理信用风险的优点是什么?

可以参考基础班讲义“How Credit Risk Transfer Can be Useful”这部分:

B选项说的是Marking to market,也就是盯市制度:

C选项说的是Termination:

D选项说的是netting:


所以只有A选项才是CDS的优点。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2023090401000096 问题如下 Question A risk analyst a growing bank is concerneabout a loexposure to a large manufacturing company whiis losing significant market share in its instry. The analyst consirs the use of fferent cret risk transfer mechanisms, inclung C, to manage this exposure. Whiof the following statements correctly scribes appropriate benefit of using C in this situation? A.C quantify the manufacturing company’s fault risk anallow the bank to monitor changes in this risk on a real-time basis. B.C provi agreement to periocally revalue the loantransfer any net value change. C.C require the manufacturing company to pbathe loin full earlier point in time. C allow the bank to offset its exposure to the company with loexposures to other manufacturing companies. Explanation A is correct. C (or cret fault swaps) are cret rivatives thquantify a company’s fault risk anallow the bank to monitor changes in the company’s fault risk on a real-time basis. This is improvement over cret ratings, whionly upte assessments of companies’ fault risk on a perioc basis. B is incorrect. This woula feature of marking-to-market/margining. C is incorrect. This woulexample of a termination/put option mechanism. is incorrect. C not provi offset using loexposures to other counterparties. A separate transfer mechanism, netting, cuseto offset negative anpositive exposures to the same counterparty but this statement es not correctly scrinetting either. Section Fountions of Risk Management Learning Objective Compare fferent types of cret rivatives, explain their applications, anscritheir aantages. ReferenGlobAssociation of Risk Professionals. Fountions of Risk Management. New York, NY: Pearson, 2022. Chapter 4. Cret Risk Transfer Mechanisms. 解析is incorrect. C not provi offset using loexposures to other counterparties. A separate transfer mechanism, netting, cuseto offset negative anpositive exposures to the same counterparty but this statement es not correctly scrinetting either.没有看懂。

2024-04-30 10:58 1 · 回答