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ALLA · 2019年09月13日

问一道题:NO.PZ2016072602000055

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


老师您好,请问这题问的具体是什么风险?如果是信用风险,买期权可能面临对手方违约的风险,有可能大于卖期权的风险吗?

2 个答案

品职答疑小助手雍 · 2020年10月12日

从另一个角度看:internal models approach是市场风险里的方法,而standardized approach是信用风险里的方法,也间接说明了涉及信用风险的肯定是只买了期权的头寸,然后从要使用更简单的模型考虑,就选这部分业务insignificant就只有C了。

品职答疑小助手雍 · 2019年09月13日

同学你好,这两个approach都是信用风险的,那这题肯定是关于信用风险的了,卖期权那个似乎是市场风险,就不在这题的考虑范畴内了,

轧称的棉花糖 · 2019年09月23日

内部模型法不是市场风险,而内部评级法才是信用风险啊?

DDAXC · 2020年10月12日

内部模型法是衡量市场风险的呀 是不是题目写错了

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