NO.PZ2024050101000095
问题如下：
A bank enters into a swap agreement with a counterparty. The swap has no collateral requirements, and no netting agreements are present between the bank and the counterparty. The following data is available for the swap position:
• The counterparty expected exposure is 0.40% and approximately constant from month to month.
• The credit spread for a five year credit default swap on the counterparty is 500 bps.
• The counterparty’s probability of default within five years is 10%.
• The 5-year effective duration of the swap is 4.0.
Assuming no wrong-way risk on the position, which value is the closest approximation of the credit value adjustment expressed as a running spread?
选项：
A.2 bps
B.4 bps
C.5 bps
D.8 bps
解释：
求解析和计算过程
