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Wenny · 2020年10月12日

问一道题:NO.PZ2016082405000078

问题如下:

Which of the following statements regarding WWR and RWR is correct?

选项:

A.

A long put option is subject to WWR if both risk exposure and counterparty default probability decrease.

B.

A long call option experiences RWR if the interaction between risk exposure and counterparty default probability produces an overall decline in counterparty risk.

C.

Declining local currency decrease the position gain in a foreign currency transaction, while increasing risk exposure of the counterparty.

D.

The 2007-2009 credit crisis provides an example WWR from the perspective of a long who had sold credit default swaps (CDSs) as protection against bond issuers' default.

解释:

B  A long call option experiences BWR if risk exposure and counterparty default probability results in decreased counterparty risk. A long put option is subject to WWR if both risk exposure and counterparty default probability increase. Declining local currency can increase the position gain in a foreign currency transaction, while increasing counterparty risk exposure. The 2007-2009 credit crisis provides an example of WWR from the perspective of a long who had bought CDSs as protection against bond issuers’ default.

怎么理解选项c呢?

1 个答案

袁园_品职助教 · 2020年10月13日

同学你好!

C选项描述了三点:1)本币贬值/外币升值;2)外币交易gain减少;3)counterparty风险敞口增加

以Long外币为例,则13成立 2错(因为此时外币升值,Long外币的话收益增加了)

以Short外币为例,则12成立 3错

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