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qyang · 2019年04月24日

问一道题:NO.PZ201712110200000503 第3小题 [ CFA II ]

问题如下图:

选项:

A.

B.

C.

解释:请问老师,如果这里确实出现违约,该怎么做?我完全不知道怎么做:(

1 个答案
已采纳答案

吴昊_品职助教 · 2019年04月25日

假设我们现在算作信用事件。CDS index里面每家公司都是等权重的,当某家公司发生信用事件之后,该公司就按照比例从index中去除, index的名义本金也按照比例下降。现在这个index中包含100家公司,那每家公司占比都是1/100,index名义本金为400million,如果M重组,保险公司要进行赔付,赔付完之后就要M公司从index中去除。剩下的本金为400-400*(1/100)=396million.

tianquer · 2020年03月15日

若真出现违约,all outstanding principal obligations will be reduced by 30%这句话是什么意思,对NP也没有影响么?

吴昊_品职助教 · 2020年03月15日

当某家公司发生信用事件之后,该公司就按照比例从index中去除, index的名义本金也按照比例下降。剩下的本金为400-400*(1/100)=396million.

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NO.PZ201712110200000503 问题如下 Following the Maxx restructuring, the C HY notionwill closest to: A.€396.0 million. B.€398.8 million. C.$400.0 million. C is correct. When entity within inx faults, thentity is removefrom the inx ansettlea single-name C baseon its relative proportion in the inx. To qualify a cret event, the restructuring must involuntary anforceon the borrower the cretors. Although the Maxx restructuring woulconsirea cret event (fault) in the eurozone, in the UniteStates, restructuring is not consirea cret event; therefore, the notionamount of $400 million will not change. 希望小助手读一读,这道题涉及的部分没有出现。但我在经典题里做过这道题,那部分没在这个题目里。

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