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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。



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