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tristabo · 2024年06月20日

第二个 credit spread在什么情侣下属于credit risk

NO.PZ2023091901000001

问题如下:

Jennifer Durrant is evaluating the existing risk management system of Silverman Asset Management. She is asked to match the following events to the corresponding type of risk. Identify each numbered event as a market risk, credit risk, operational risk, or legal risk event.

1.Insufficient training leads to misuse of order management system.

2.Credit spreads widen following recent bankruptcies.

3.Option writer does not have the resources required to honor a contract.

4.Credit swaps with counterparty cannot be netted because they originated in multiple jurisdictions.

选项:

A.

1: legal risk. 2: credit risk. 3: operational risk. 4: credit risk

B.

1: operational risk. 2: credit risk. 3: operational risk. 4: legal risk

C.

1: operational risk. 2: market risk. 3: credit risk. 4: legal risk

D.

1: operational risk. 2: market risk. 3: operational risk. 4: legal risk

解释:

Credit spread要怎么判断什么情况属于credit risk,什么时候是market risk

1 个答案

pzqa39 · 2024年06月20日

嗨,努力学习的PZer你好:


由于一些公司破产事件,信用利差会扩大,这个属于market risk,受到市场环境的影响,利差扩大带来资产价格下降的损失。credit spread扩大主要带来市场风险,大部分题目都是属于市场风险的。

可能会有特殊情况就是公司信用评级下降导致credit spread拉大,这种就属于信用风险了。

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努力的时光都是限量版,加油!