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finger · 2020年01月14日

问一道题:NO.PZ2019011002000013 [ CFA II ]

这一题看了解释不是很理解

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案

吴昊_品职助教 · 2020年01月14日

嗨,爱思考的PZer你好:


Bond1,trading at 40% of par的意思是如果违约的话,债券交易价格是40%的面值。

Bond2,trading at 50% of par的意思是如果违约的话,债券交易价格是50%的面值。

对于CDS合约来说,我们按照价格最低债券遭受的损失进行赔付,这个债券称为cheapest-to-deliver obligation。所以选B。


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