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

小印章 · 2023年10月26日

c选项为什么对啊

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。

RWR不是敞口和概率是反向关系吗?

1 个答案

李坏_品职助教 · 2023年10月26日

嗨,爱思考的PZer你好:


这个题是根据原版书的叙述改编的:

按照官方原版书教材的说法,只要是会让对手方违约风险整体下降的,都可以算做RWR。


risk exposure下降了,对手方违约概率也在下降,那么我们在这笔交易中遭受的违约风险整体是下降的,所以可以算RWR。


如果C改为都上升了,那才是WWR。



----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 1

    关注
  • 171

    浏览
相关问题

NO.PZ2020033003000078 问题如下 Whiof the following statement about Right-WRisk(RWR) anWrong-WRisk(WWR) is not correct? A.In the 2008 financicrisis, the Cs buyer is facing WWR. B.The preciation of the foreign currenlea to losses in foreign currentransactions anincreases the probability of counterparty fault,the foreign curreninverstor is facing WWR. C.A long call option is facing RWR if both the risk exposure ancounterparty fault probability crease. A long put option is facing WWR, if the risk exposure ancounterparty fault probability both increase. B is correct.考点Wrong-WRisk Vs. Right-WRisk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。 老师这里的B说是站在foreigner curreninvestor的角度来看,那它的对手方是谁呢?这里我看不出来,对于B要怎么分析Ccret risk exposure和Ppositive 关系啊,虽然都是同时下降,那也应该属于WWR啊,那C也不对啊

2023-07-19 20:04 2 · 回答

NO.PZ2020033003000078 问题如下 Whiof the following statement about Right-WRisk(RWR) anWrong-WRisk(WWR) is not correct? A.In the 2008 financicrisis, the Cs buyer is facing WWR. B.The preciation of the foreign currenlea to losses in foreign currentransactions anincreases the probability of counterparty fault,the foreign curreninverstor is facing WWR. C.A long call option is facing RWR if both the risk exposure ancounterparty fault probability crease. A long put option is facing WWR, if the risk exposure ancounterparty fault probability both increase. B is correct.考点Wrong-WRisk Vs. Right-WRisk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。 课上讲的foreign currentransaction和这个有什么不一样吗。我投资外币,就比如我现在人民币换美元,外币贬值,导致我亏损了,我的exposure下降。在经济环境不好的情况下确实对手方的P增加,但是为什么要考虑经济不好的情况下呢,正常经济情况外币也会贬值呀

2023-04-24 08:31 3 · 回答

NO.PZ2020033003000078问题如下 Whiof the following statement about Right-WRisk(RWR) anWrong-WRisk(WWR) is not correct? A.In the 2008 financicrisis, the Cs buyer is facing WWR.B.The preciation of the foreign currenlea to losses in foreign currentransactions anincreases the probability of counterparty fault,the foreign curreninverstor is facing WWR.C.A long call option is facing RWR if both the risk exposure ancounterparty fault probability crease.A long put option is facing WWR, if the risk exposure ancounterparty fault probability both increase. B is correct.考点Wrong-WRisk Vs. Right-WRisk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。 C,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P升,变动是反方向,所以应该是RWR

2022-10-27 12:35 1 · 回答

NO.PZ2020033003000078问题如下 Whiof the following statement about Right-WRisk(RWR) anWrong-WRisk(WWR) is not correct? A.In the 2008 financicrisis, the Cs buyer is facing WWR.B.The preciation of the foreign currenlea to losses in foreign currentransactions anincreases the probability of counterparty fault,the foreign curreninverstor is facing WWR.C.A long call option is facing RWR if both the risk exposure ancounterparty fault probability crease.A long put option is facing WWR, if the risk exposure ancounterparty fault probability both increase. B is correct.考点Wrong-WRisk Vs. Right-WRisk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。 老师,在这个题里面,C没太看懂。您给出的原版书里的,好像和我们平时理解的不太一样。RWRPEA负相关;但是原版书里PEA向变动的?没太理解?

2022-10-03 10:42 4 · 回答