开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

yewei1989 · 2022年03月26日

cds price

* 问题详情,请 查看题干

NO.PZ202112010200002402

问题如下:

Oncethe manager purchases CDS protection, the issuer’s CDS spread immediately fallsto 1.60%. What is the investor’s approximate mark-to-market gain or loss for acontract notional of €10,000,000?

选项:

A.

The manager realizes an approximate loss of €131,250.

B.

The manager realizes an approximate gain of €131,250.

C.

The manager realizes an approximate gain of €525,000.

解释:

A is correct. The CDS spread decline of 0.15% leads toa new CDS contract price of 94.75 per 100 face value (=1 – (EffSpreadDurCDS× ∆Spread) or (8.75 × 0.60%)).

The protection buyer (shortrisk) position therefore realizes an approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% decline in CDS spreads.

直接用credit spread change 0.15乘以spread duration 再乘以 notional ,可以嘛?

1 个答案

pzqa015 · 2022年03月27日

嗨,从没放弃的小努力你好:


可以

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 542

    浏览
相关问题

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师请问 C basis是什么来着?

2024-07-21 13:54 1 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师,下午好,这题有个新问题,我看大家都没有提问过,请问,这里为什么是除以100,而不是除以93.4375?p0,p1计算我都能理解,但不理解return为什么不是除以p0,而是除以100?

2024-01-07 17:05 1 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 如果可以,请老师一下

2023-01-12 07:56 4 · 回答

NO.PZ202112010200002402 问题如下 Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师请问,我可以这样理解吗?有更好的快速记忆的方法吗?想理一下这背后的逻辑C Sprea降对于buy C protection(short risk)的一方是loss;C Sprea升对于buy C protection(short risk)的一方是gainC Sprea降对于sell C protection(long risk)的一方是gain;C Sprea升对于sell C protection(short risk)的一方是loss

2022-12-16 18:35 2 · 回答

NO.PZ202112010200002402 问题如下 active portfolio managerseeking to purchase single-name C protection observes a 1.75% 10-yemarketcret sprefor a private investment-gra issuer. The effective sprerationis 8.75 anC basis is close to zero. Oncethe manager purchases C protection, the issuer’s C spreimmeately fallsto 1.60%. Whis the investor’s approximate mark-to-market gain or loss for acontranotionof €10,000,000? A.The manager realizes approximate loss of €131,250. B.The manager realizes approximate gain of €131,250. C.The manager realizes approximate gain of €525,000. A is correct. The C sprecline of 0.15% lea toa new C contrapriof 94.75 per 100 favalue (=1 – (EffSpreaurC× ∆Sprea or (8.75 × 0.60%)). The protection buyer (shortrisk) position therefore realizes approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% cline in C sprea. 老师,买入之后C价格是上升了啊,变成94.75,upfront premium更小,buyer有loss

2022-07-26 17:18 1 · 回答