问题如下图:
选项:
A.
B.
C.
D.
解释:
老师,buy security,不会产生exposure吗?sell cds是义务怎么会有exposure?求解
NO.PZ2016082406000075 In a synthetic C, The SPV gains cret exposure buying securities. The SPV gains cret exposure selling cret fault swaps. The SPV gains cret exposure buying cret fault swaps. The SPV gains cret exposure selling risk-free bon. ANSWER: B The SPV ceither buy cret-sensitive bon or sell fault swaps. A不对,是因为买的是高质量的security,是没有信用风险的,所以没有敞口是这个意思吗
老师好,1. 请问所谓 风险敞口来自 卖C, 是指收不上来premium 吗?收不上来保费就不给他违约时候赔付,不就行了?2. 不明白C 哪里有 buy cret-sensitive bon 不是买的是risk free bon吗?
老师好,什么叫synthetiC?
C的SPV是卖出C 买入 risk-free bon,后者的债券是视同没有Cret exposure的吗?