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喜欢wyb的搬砖工 · 2020年03月18日

问一道题：NO.PZ2016082406000065

  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.

您好，这道题C选项没有懂。为什么C不对呢？

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1 个答案

品职答疑小助手雍 · 2020年03月18日

同学你好，这题意思是A找B买了个X的CDS，那么A面临的风险是X违约的同时B在这个CDS也违约的风险。

C的描述是：A面临的风险是B在这个CDS上违约风险和B识别的对手方风险。后半句和A完全没关系的。

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