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中二 · 2020年03月19日

问一道题:NO.PZ2016082405000077 [ FRM II ]

问题如下:

Which of the following events would likely lead to an increase in WWR?

I.       The borrower and the guarantor are business partners.

II.     A monoline insurer sold protection concentrated in a business or industry.

选项:

A.

I only.

B.

II only.

C.

Both I and II.

D.

Neither I nor II.

解释:

C WWR will increase if the borrower and guarantor are business partners. The guarantees offered by a monoline insurer may turn out to be worthless if the risk exposure increases and the guarantor is hit by a flood of claims due to a concentrated position in an industry or business.

II项能不能理解成CDS的意思?

1 个答案

袁园_品职助教 · 2020年03月20日

同学你好!

II项的意思是卖保险的公司集中卖同一个行业的保险,所以当这个行业不行的时候,这个卖保险的公司也很可能兜不住了,所以这是一个wrong way risk

你说理解成CDS是指把卖保险理解成short CDS? 这个没问题啊,不过理解成 CDS 对理解这里的 WWR 好像也没什么很大的关联