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小乔eoe · 2019年05月05日

问一道题:NO.PZ2019011002000014 [ 2019.06 CFA II ]

问题如下图:

选项:

A.

B.

C.

解释:

怎么知道A选项也是D公司发行的,如果不是同一个borrower那是否CTD就是50%
1 个答案

吴昊_品职助教 · 2019年05月06日

题干中表述的很清楚,以下bond都是公司D发行的。

我们在算CDS赔付多少的时候,只看cover的债券的优先级别,不看期限。也就是说D这家公司所发行的所有的senior unsecured bond都是这份CDS合约cover的对象。进行赔付的时候,我们要基于损失较大的债券来进行赔付,已知债券1损失60%,债券2损失50%,所以我们要基于60%来进行赔付。


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