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nicole 麦子🌳 · 2025年07月05日

题目问的是as running spread还是CVA？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024050101000095

问题如下：

A bank enters into a swap agreement with a counterparty. The swap has no collateral requirements, and no netting agreements are present between the bank and the counterparty. The following data is available for the swap position:

• The counterparty expected exposure is 0.40% and approximately constant from month to month.

• The credit spread for a five year credit default swap on the counterparty is 500 bps.

• The counterparty’s probability of default within five years is 10%.

• The 5-year effective duration of the swap is 4.0.

Assuming no wrong-way risk on the position, which value is the closest approximation of the credit value adjustment expressed as a running spread?

选项：

A.

2 bps

B.

4 bps

C.

5 bps

D.

8 bps

解释：

英文解析：

CVA= EE*spread=500bp*0.4%=2bp

中文解析：

信用价值调整运行利差

≈ 预期风险暴露（EE）× 信用违约互换（CDS）利差

= 0.05 * 0.004 = 0.0002（2个基点）

老师，根据讲义579页举的例子，CVA standalone要除以 (risky duration*notional amount), 答案只是计算了CVA standalone，为什么下面的就不算了呢？

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1 个答案

pzqa27 · 2025年07月07日

嗨，爱思考的PZer你好：


579那个算的是interest rate swap的转换，何老师在基础班讲这里的时候也说了，576页这个不是重点，重点是574页的那个转化成spread的计算，574页的计算方法跟579页不一样，原因是574页是针对CDS合约来计算的，这个题目背景说了“The credit spread for a five year credit default swap on the counterparty is 500 bps.”

所以应该用574页的公式。

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