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vivian_zm · 2020年02月29日

问一道题:NO.PZ2016082405000074

问题如下:

Regarding the impact of changes in the credit spread and recovery rate assumptions on the CVA, which of the following statements is true?

选项:

A.

A decrease in the credit spread will most often increase the CVA.

B.

For an upward-sloping curve, the CVA will be higher compared to a downward- sloping curve.

C.

Increasing the recovery rate will reduce the ^VA.

D.

If the actual recovery rate is higher than the settled recovery rate, the CVA will most likely be higher compared to a situation where both recovery assumptions are the same for both rates.

解释:

C Increasing the recovery rate will increase the implied probability of default but reduce the resulting CVA.. The CVA will most often increase given an increase in the credit spread. When considering the shape of the credit spread curve, the CVA will be lower for an upward- sloping curve compared to a downward-sloping curve. Finally, a higher actual recovery rate will most likely lead to a lower CVA compared to a situation where the recovery assumptions are the same for both actual and settled rates.

请问答案解释中说Increasing the recovery rate will increase the implied probability of default but reduce the resulting CVA.

如何理解RR提高会增加implied probability of default呢?

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orange品职答疑助手 · 2020年03月01日

同学你好,我查了下原版书,只找到了类似的结论,没找到具体的原因。我觉得可能是因为credit spread ≈ PD*(1-RR),所以当RR上升时,PD会上升。可以把这个当成结论记一下吧,是一个很小的知识点



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