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金融民工阿聪 · 2021年05月01日

C的问题

NO.PZ2016082405000078

问题如下:

Which of the following statements regarding WWR and RWR is correct?

选项:

A.

A long put option is subject to WWR if both risk exposure and counterparty default probability decrease.

B.

A long call option experiences RWR if the interaction between risk exposure and counterparty default probability produces an overall decline in counterparty risk.

C.

Declining local currency decrease the position gain in a foreign currency transaction, while increasing risk exposure of the counterparty.

D.

The 2007-2009 credit crisis provides an example WWR from the perspective of a long who had sold credit default swaps (CDSs) as protection against bond issuers' default.

解释:

B  A long call option experiences BWR if risk exposure and counterparty default probability results in decreased counterparty risk. A long put option is subject to WWR if both risk exposure and counterparty default probability increase. Declining local currency can increase the position gain in a foreign currency transaction, while increasing counterparty risk exposure. The 2007-2009 credit crisis provides an example of WWR from the perspective of a long who had bought CDSs as protection against bond issuers’ default.

1.C中说的外币交易,其实我不太确定,因为外币交易包括两种,外币换本币和本币换外币都叫做外币交易,那么我们根本不能确定这个头寸谁赚谁亏啊?

2.所以在读题的时候就觉得选项说的不清不楚的,这个选项就不知道对错了,这种情况怎么解决好呢

1 个答案

小刘_品职助教 · 2021年05月01日

同学你好,

这道题可以分情况讨论,

假设如果你是long 外币的一方,那Declining local currency decrease the position gain in a foreign currency transaction 这句话是错误的,所以不能选;

如果你是long 本币的一方,Declining local currency decrease the position gain in a foreign currency transaction 这句话是对的,但是 increasing risk exposure of the counterparty.这句话又不对了,所以无论是哪种头寸肯定都是错的。

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