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朵朵0927 · 2021年08月28日

老师麻烦您说下选项c?

NO.PZ2020033003000078

问题如下:

Which of the following statement about Right-Way Risk(RWR) and Wrong-Way Risk(WWR) is not correct?

选项:

A.

In the 2008 financial crisis, the CDSs buyer is facing WWR.

B.

The depreciation of the foreign currency leads to losses in foreign currency transactions and increases the probability of counterparty default,the foreign currency inverstor is facing WWR.

C.

A long call option is facing RWR if both the risk exposure and counterparty default probability decrease.

D.

A long put option is facing WWR, if the risk exposure and counterparty default probability both increase.

解释:

B is correct.

考点:Wrong-Way Risk Vs. Right-Way Risk

解析:外币贬值导致外币投资的亏损,此时我方收益减少或者损失增加,在对方看来我方的违约率可能会增加。

换言之此时exposure和违约概率不会同时变大,B错误。

c为什么是同时减少?

2 个答案

品职答疑小助手雍 · 2022年04月04日

不觉得是凑选项,即使可能你觉得D对C一定对,所以CD都不选。有时候情景是可以改的,我之前的解释里也写了两个因素。

品职答疑小助手雍 · 2021年08月28日

嗨,努力学习的PZer你好:


call比较特殊一点,它不一定是一定同时减少,同时减少只是情况之一。

就是当经济差的时候,股价下跌,call降价,exposure下降。

此时经济差的因素是导致PD增加,而由于exposure减少的因素,PD也是会减少。(亏的少了没必要违约)

这就要看上面的两种因素哪个影响大了。后者影响大的话是会导致exposure和PD同减的。

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努力的时光都是限量版,加油!

hbc0728 · 2022年04月04日

C有凑选项的嫌疑啊

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