NO.PZ2024042601000145
问题如下：
The head of the CVA desk at an investment bank asks an analyst to
report on the factors that have the potential to impact the estimation of
counterparty exposure metrics. The analyst focuses on the expected future value
(EFV) metric which the CVA desk typically uses for estimating the unilateral
CVA (UCVA) for cross-currency counterparty positions. The analyst finds several
factors that cause the EFV to vary significantly from its current value. Which
of the following correctly explains EFV variations?
选项：
A.The default
intensity of the investment bank tends to change.
The cash flows in
the transactions tend to be symmetric.
The interest rates
have an implied drift.
The distribution of
future values requires a normal distribution assumption.
解释：
C is correct. When
there are drifts in the market variables, for instance, forward rates being
significantly different from spot rates, then future value for a given portfolio
can be higher or lower.
A is incorrect. The
bank’s default intensity (probability of default) does not impact its estimation
of EFV of counterparty positions, it only affects the default event indicator.
B is incorrect.
Asymmetric cash flows are consistent with variation in EFV. Symmetry implies
that the EFV is always zero.
D is incorrect. The
distribution of future values does not require a normal distribution assumption
and does not explain variation in EFV. Even if the distribution of future values
(such as CDS) is a normal distribution, it can be stationary such that its expected
value is constant over time (rather than varying).
请解释下四个选项
