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

返回

葫芦娃吃生菜 · 2025年03月24日

这道题怎么理解，解释一下

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024050101000096

问题如下：

Mary assigns to John a long position in an at-the-money (ATM) call option with a one year term and strike a price of $100.00. The current stock price is $100.00 with volatility of 60.0%. The risk-free rate is 3.0% with continuous compounding. N(d1) = 0.64 and N(d2) = 0.40. The present-valued expected exposure (EE) to the counterparty, who holds the short option position, is $23.00 with a probability of counterparty default of 5.0% and loss given default (LGD) of 75.0%. Which is nearest to John's payment for the long option position, if his cost includes a credit valuation adjustment (CVA)?

选项：

A.

$6.15

B.

$19.37

C.

$24.32

D.

$26.04

解释：

The BSM call option price = 100 × 0.64 - 100 × exp(-3%) × 0.40 = $25.182, which does not include counterparty risk incurred by the long option position (the short has no counterparty risk). The CVA-adjusted value = $25.182 - $23.00 × 5% × 75% = $24.32

这道题怎么理解，解释一下，为什么RR是按照0算的

添加评论
1 个答案

pzqa27 · 2025年03月25日

嗨，从没放弃的小努力你好：


这个题问的是经过CVA调整后的option的价值是多少，首先先来计算call option的价值，根据BSM模型，call option 的价值是100 × 0.64 - 100 × exp(-3%) × 0.40 = $25.182，然后对这25.182进行CVA的调整即可，至于CVA的计算，可以参考下图这页PPT


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 5

    浏览
相关问题

NO.PZ2024050101000096 问题如下 Mary assigns to John a long position in at-the-money (ATM) call option with a one yeterm anstrike a priof $100.00. The current stopriis $100.00 with volatility of 60.0%. The risk-free rate is 3.0% with continuous compounng. N() = 0.64 anN() = 0.40. The present-valueexpecteexposure (EE) to the counterparty, who hol the short option position, is $23.00 with a probability of counterparty fault of 5.0% anloss given fault (LG of 75.0%. Whiis nearest to John's payment for the long option position, if his cost inclus a cret valuation austment (CVA)? A.$6.15 B.$19.37 C.$24.32 $26.04 The BSM call option pri= 100 × 0.64 - 100 × exp(-3%) × 0.40 = $25.182, whies not inclu counterparty risk incurrethe long option position (the short hno counterparty risk). The CVA-austevalue = $25.182 - $23.00 × 5% × 75% = $24.32 这是CVA的哪个计算公式？

2024-10-01 20:57 1 · 回答

NO.PZ2024050101000096 问题如下 Mary assigns to John a long position in at-the-money (ATM) call option with a one yeterm anstrike a priof $100.00. The current stopriis $100.00 with volatility of 60.0%. The risk-free rate is 3.0% with continuous compounng. N() = 0.64 anN() = 0.40. The present-valueexpecteexposure (EE) to the counterparty, who hol the short option position, is $23.00 with a probability of counterparty fault of 5.0% anloss given fault (LG of 75.0%. Whiis nearest to John's payment for the long option position, if his cost inclus a cret valuation austment (CVA)? A.$6.15 B.$19.37 C.$24.32 $26.04 The BSM call option pri= 100 × 0.64 - 100 × exp(-3%) × 0.40 = $25.182, whies not inclu counterparty risk incurrethe long option position (the short hno counterparty risk). The CVA-austevalue = $25.182 - $23.00 × 5% × 75% = $24.32 题干中volatility of 60.0%没用到，什么时候会用到volatility这个条件呢？

2024-05-11 16:01 1 · 回答