问一道题：NO.PZ2016082406000067

NO.PZ2016082406000067 You enter into a cret fault swwith bank B thsettles baseon the performanof company Assuming thbank B ancompany C have the same initicret rating aneverything else remains the same, whis the impaon the value of your cret fault swif bank B buys company The cret fault swvalue increases. The cret fault swvalue remains the same. The cret fault swvalue creases. It is impossible to termine basein the information provi ANSWER: C If bank B buys company the two entities B anC will fault the same time. This increase in the fault correlation makes the C contraless valuable. In Table below, the fair C sprecreases when the correlation increases. Given ththe existing C contraha fixesprea this event shoulcrease the value of the outstanng contract. Source: Aptefrom J. Hull anWhite, \"Valuing Cret fault Swaps II: Moling fault Correlations\", Journof rivatives 8 (2001): 12-21. 这道题可以这么理解吗？公司C预期损失不变，C反映了公司C的预期损失，但是这里的C费用降低并不是来自于公司C的预期损失下降，而是由于卖C银行B的信用下降，C下降的部分也就是对银行B信用下降的补偿

You enter into a cret fault swwith bank B thsettles baseon the performanof company Assuming thbank B ancompany C have the same initicret rating aneverything else remains the same, whis the impaon the value of your cret fault swif bank B buys company The cret fault swvalue increases. The cret fault swvalue remains the same. The cret fault swvalue creases. It is impossible to termine basein the information provi ANSWER: C If bank B buys company the two entities B anC will fault the same time. This increase in the fault correlation makes the C contraless valuable. In Table below, the fair C sprecreases when the correlation increases. Given ththe existing C contraha fixesprea this event shoulcrease the value of the outstanng contract. Source: Aptefrom J. Hull anWhite, \"Valuing Cret fault Swaps II: Moling fault Correlations\", Journof rivatives 8 (2001): 12-21. 违约相关性上升，c的价格应该贵，为什么不选a?