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Allenyang0224 · 2020年09月13日

问一道题：NO.PZ2016082406000065

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

When an institution has sold exposure to another institution (i.e., purchased protection) in a CDS, it has exchanged the risk of default on the underlying asset for which of the following?

选项：

A.

Default risk of the counterparty

B.

Default risk of a credit exposure identified by the counterparty

C.

Joint risk of default by the counterparty and of the credit exposure identified by the counterparty

D.

Joint risk of default by the counterparty and the underlying asset

解释：

ANSWER: D

The protection buyer is exposed to the joint risk of default by the counterparty and underlying credit. If only one defaults, there is no credit risk.

您好，大概看了看之前朋友的提问以及解析，但还是觉得有问题。按照这题的问法，说的是一个公司卖CDS给另一个公司，它exchange的风险有哪些。

卖CDS保险的公司不是只承受credit exposure的风险吗？还是这道题问的有问题？它逗号后面的"it"指代的是CDS seller啊

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袁园_品职助教 · 2020年09月14日

同学你好！

When an institution has sold exposure to another institution (i.e., purchased protection) in a CDS

翻译一下：当一个 institution A 把 exposure 卖给另一个 institution B，即 institution A 买了 CDS

逗号后面的"it"指代的是 institution A，即 CDS buyer

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