问题如下:
Compared to interest rate swap, credit default swap has
选项:
A.larger volatility component and more significant wrong-way risk
B.smaller volatility component and more significant wrong-way risk
C.smaller volatility component and less significant wrong-way risk
D.larger volatility component and less significant wrong-way risk
解释:
A is correct.
考点:OTC derivatives
解析:与interest rate swap相比,CDS的波动率高,wrong-way risk错向风险更大,这是结论。wrong-way risk指的是由衍生品交易特征导致的交易对手违约概率(default probability)和风险暴露(loss given default)之间的正相关性。也就是说风险暴露增加,违约概率随之增加,因为风险暴露加大了交易对手的债券负担,所以恶化了他的履约能力。
为什么CDS波动性高