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Shuangshuang · 2024年08月03日

再讲一遍呗

NO.PZ2024042601000105

问题如下:

Which of the following activities or transactions would most likely result in right-way risk with counterparty?

选项:

A.

Purchasing a put option from an A-rated company on that company's stock

B.

Entering Into a forward contract to buy West Texas Intermediate (WTI) crude oil from an airline company at a fixed price

C.

Entering into a forward contract to buy WTI crude oil from a large oil producer at a fixed price.

D.

Selling a put option to an A-rated company on that company's stock

解释:

right way 是 pd和EAD负相关吗,PD变小,EAD变大?

油价上涨,买方CVA增加,但卖方违约率不变???

1 个答案
已采纳答案

pzqa27 · 2024年08月05日

嗨,努力学习的PZer你好:


right way 是 pd和EAD负相关吗,PD变小,EAD变大?

嗯,是的。


油价上涨,买方CVA增加,但卖方违约率不变???

这里跟CVA没关系,油价上升,long foward合约的一方赚钱,同时卖石油的公司利润也上升,违约率下降,所以这里是RWR

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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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