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Kate · 2025年07月02日

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NO.PZ2023040701000088

问题如下:

Cromwell instructs Thames to develop a model that derives the credit valuation adjustment (CVA). Cromwell makes the following comments regarding credit modeling.

Comment 1: The factors to consider in modeling credit risk are the expected exposure to default loss, the risk-neutral probability of default, and the loss given default.

Comment 2: The use of an actual default rate in the model may overstate the observed value for a corporate bond because it includes a default risk premium associated with uncertainty over the timing of possible default loss.

Comment 3: The observed credit spread may also be higher than required for credit risk to compensate for a liquidity premium and tax considerations.

Cromwell is least likely correct with regard to which point regarding credit modeling?

选项:

A.

Comment 1

B.

Comment 2

C.

Comment 3

解释:

Correct Answer: B

Cromwell is incorrect with regard to Comment 2 regarding credit modeling. The use of an actual default rate in the calculation overstates the observed value of the bond because it does not include a default risk premium associated with the timing uncertainty of possible default loss. Cromwell is correct in Comments 1 and 3.

2为什么不对,可以请老师再解释一下吗


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