问一道题：NO.PZ2019052801000089

问题如下：

Compared to interest rate swap, credit default swap has

选项：

larger volatility component and more significant wrong-way risk

smaller volatility component and more significant wrong-way risk

smaller volatility component and less significant wrong-way risk

larger volatility component and less significant wrong-way risk

解释：

A is correct.

考点：OTC derivatives

解析：与interest rate swap相比，CDS的波动率高，wrong-way risk错向风险更大，这是结论。wrong-way risk指的是由衍生品交易特征导致的交易对手违约概率(default probability)和风险暴露(loss given default)之间的正相关性。也就是说风险暴露增加，违约概率随之增加，因为风险暴露加大了交易对手的债券负担，所以恶化了他的履约能力。