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天王老子 · 2021年11月29日

D选项 没明白,一般对冲都不会有WWR 投机才会产生WWR。?请解答

NO.PZ2020033003000079

问题如下:

Which of the following statements regarding counterparty risk is correct?

选项:

A.

Relative to the frequently changing bank loan exposure, the OTC derivatives market exposure is usually relatively stable.

B.

When estimating the over all counterparty risk, the default probability is one of the equation factors in the calculation.

C.

Historically, RWR has attracted a lot of attention, while WWR has not been paid much relative attention.

D.

Speculation in the normal derivatives market often produces RWR.

解释:

B is correct.

考点:Wrong-Way Risk Vs. Right-Way Risk

解析:相比之下,银行贷款市场比场外期权市场的总敞口更稳定一些,A错。

RWR受的关注少一些,WWR则比较多,C错。

衍生品市场的投机行为不都是产生RWR的,D错。

D选项 没明白,一般对冲都不会有WWR 投机才会产生WWR。?请解答

1 个答案

李坏_品职助教 · 2021年11月29日

嗨,爱思考的PZer你好:


这道题是要选正确选项,D是错误的。


D说的是在衍生品市场做投机,投机一般是赌单边,比如我买入一张看跌期权,我赚的越多,说明市场跌的越厉害。此时我的exposure很大,对手方可能受到市场下跌的影响,他的信用状况大概率会变差,这是wrong way risk而不是RWR,所以D是错的。

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