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滴滴姐姐~ · 2021年10月22日

再来问问C

  1. FRM II
  2. Credit Risk Measurement And Management

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。

那如果A和B同时减少不能说明二者正相关


A和B一增一减 可以说明二者负相关吗？


如题，谢谢~

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3 个答案

李坏_品职助教 · 2022年10月27日

嗨，努力学习的PZer你好：


你理解的是对的，当我方的exposure和对手方的违约风险是正相关的时候，也就是如果我们赚钱的同时对手方违约风险在增加，那么就是WWR。

B的意思是：外币贬值使得我方亏损增加，而对手方的是有收益的。既然对手是赚钱的，他自然不会违约，所以对手的PD不会增加。B错误。


C和D都默认我们交易期权的标的公司是对手方。

C选项：看涨期权多头赚钱（exposure上升）的时候，必然是标的公司（对手方）股价在上涨，此时对手方信誉良好，违约率下降，所以exposure和PD是负相关，是RWR，C正确。

D选项：看跌期权多头赚钱（exposure上升）的时候，必然是标的公司（对手方）股价下跌，此时对手方信用质量变差，违约率上升，所以exposure和PD是正相关，是WWR，D正确。

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加油吧，让我们一起遇见更好的自己！

seven-zhu · 2022年10月27日

C，D没懂，我一直理解的是我方的exposure和对手方违约风险是正相关，就是WWR，负相关就是RWR，难道不对？ B可不可以理解为，我方的exposure下降，对手方PD上升，变动是反方向，所以应该是RWR

李坏_品职助教 · 2021年10月22日

嗨，爱思考的PZer你好：


C说的是当Exposure和对手方违约率一起下降，那么long call的一方有RWR。


RWR的关键在于看最终是不是有Overall increase in risk。如果exposure和default prob一起上升，那就是雪上加霜，是WRW。 反之就是RWR。


可以参考notes的叙述：

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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