NO.PZ202304070100009101
问题如下：
The fair value of bond B2 is closest to:
选项：
A.€1,069.34.
€1,111.51.
€1,153.68.
解释：
Correct Answer: A
The following table shows that the CVA for the bond is €42.17, the sum of the present values of expected loss. The steps taken to complete the table are as follows.
Value of the bond
if the bond were default free would be:
€60 × DF1 + €60 × DF2 + €60 ×
DF3 +€1,060 × DF4 = €1,111.51.
Fair value of the
bond considering CVA = €1,111.51 – €42.17 = €1,069.34
老师，您好！如下两个问题：
1.本题的风险敞口是怎么计算得到的呢？
2.没有违约的情况下，债券的价格是1111.51。如果发生违约，那收到的现金流折现后只会小于1111.51，且1111.51已经是考虑了全部的现金流折现计算的，那什么情况下风险敞口还能大于这个价格呢？
麻烦老师讲解一下，谢谢！
