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pinzhixiaoguo · 2022年11月14日

请问c为什么不对？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000065

问题如下：

Vision hedge fund bought a CDS on asset X from MAC, through which, Vision has exchanged the risk of default on the asset X for:

选项：

A.

Default risk of MAC

B.

Default risk of a credit exposure identified by MAC

C.

Joint risk of default by MAC and of the credit exposure identified by MAC

D.

Joint risk of default by MAC and the asset X

解释：

D is correct.

考点：CDS

解析：

Vision is exposed to the joint risk of default by the MAC and asset X. If only one defaults, there is no credit risk.

如题，如果债券违约但是Mac不认账，就是不identify，是不是也不行啊？

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1 个答案

李坏_品职助教 · 2022年11月14日

嗨，努力学习的PZer你好：


你说的债券违约而且Mac不认账，这就属于joint default啊。答案里说了，现在的风险是joint risk of default by MAC and X。


在债券违约而且Mac不认账（等于Mac也违约）的情况下，Vision是要亏钱的。

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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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