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pz-stepsutake · 2020年02月24日

问一道题：NO.PZ2016082406000065 CDS risk exchange

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

When an institution has sold exposure to another institution (i.e., purchased protection) in a CDS, it has exchanged the risk of default on the underlying asset for which of the following?

选项：

A.

Default risk of the counterparty

B.

Default risk of a credit exposure identified by the counterparty

C.

Joint risk of default by the counterparty and of the credit exposure identified by the counterparty

D.

Joint risk of default by the counterparty and the underlying asset

解释：

ANSWER: D

The protection buyer is exposed to the joint risk of default by the counterparty and underlying credit. If only one defaults, there is no credit risk.

前面问答里提到的CDS标的资产对手方，是指bond X；CDS对手方是指insurer么？

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1 个答案

品职答疑小助手雍 · 2020年02月24日

前面的问答里，CDS标的资产对手方是这个underlying asset（债券）的issuer，CDS的对手方是insurer。

买了债券，又买了CDS的人面临的是来自债券issuer和CDS insurer俩人的joint risk of default。

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