问题如下：
You enter into a credit default swap with bank B that settles based on the performance of company C. Assuming that bank B and company C have the same initial credit rating and everything else remains the same, what is the impact on the value of your credit default swap if bank B buys company C?
选项： A. The
credit default swap value increases.
B. The
credit default swap value remains the same.
C. The
credit default swap value decreases.
D. It
is impossible to determine based in the information provided.
解释：
ANSWER: C
If bank B buys company C, the two entities B and C will default at the same time. This increase in the default correlation makes the CDS contract less valuable. In Table below, the fair CDS spread decreases when the correlation increases. Given that the existing CDS contract has a fixed spread, this event should decrease the value of the outstanding contract.
Source: Adapted from J. Hull and A. White, "Valuing Credit Default Swaps II: Modeling Default Correlations", Journal of Derivatives 8 (2001): 12-21.
违约相关性上升，cds的价格应该贵，为什么不选a?
