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Shawnxz · 2019年04月04日

问一道题:NO.PZ201712110200000503 第3小题

问题如下图:

    

选项:

A.

B.

C.

解释:


请问能解释一下题目吗,我们需要求什么?没有看懂,notional指的是什么?谢谢

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吴昊_品职助教 · 2019年04月04日

题目问的是M公司发生重组之后,CDS index的名义本金是否会发生变化。

CDS index里面每家公司都是等权重的,当某家公司发生信用事件之后,该公司就按照比例从index去除, index的名义本金也按照比例下降。关键就是要确定该公司的重组能否算作信用事件。重组要算作信用事件需要由债权人强制公司(Forced on the borrower),公司被动执行重组。这道题目是符合这个条件的。但是需要注意在美国Restructuring不能算作Credit event,而在欧洲Restructuring算作Credit event。因此本题的CDX HY notional不变。

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