CDS和预期损失的问题

NO.PZ2016082406000067

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：

The credit default swap value increases.

The credit default swap value remains the same.

The credit default swap value decreases.

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.

这道题可以这么理解吗？公司C预期损失不变，CDS反映了公司C的预期损失，但是这里的CDS费用降低并不是来自于公司C的预期损失下降，而是由于卖CDS银行B的信用下降，CDS下降的部分也就是对银行B信用下降的补偿