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滴滴姐姐~ · 2021年10月22日

我来问问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。

同时下降怎么还能负相关呢~


A和B同涨同跌不是说明A和B正相关吗~ 一脸懵逼.jpg。。。




1 个答案

DD仔_品职助教 · 2021年10月22日

嗨,努力学习的PZer你好:


我觉得这个C描述的是有点问题,题目问的是谁错,不选c,那就认为c是对的。

但是c说如果风险敞口和对手方违约风险都下降,long call的一方面临的是RWR。这个确实描述的是WWR。。。

那么具体的知识点是:

long call的一方,在经济差的时候,股票价格下跌,那么他的exposure是下降的,对手方的违约概率增大或者减少都不一定。他可能是增加的,因为宏观经济差会增加对手方的违约概率;也有可能减少,因为敞口变小,给long call的钱不那么多,所以对手方违约风险下降。

他选项出的确实有问题,同学把这个点掌握了就行。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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