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LuQ · 2021年08月15日

老师，请解释一下A、B选项错因吗？

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000076

问题如下：

Which of the following statement regarding wrong-way risk and right-way risk (RWR) is correct?

选项：

A.

Wrong-way risk reduces the overall counterparty risk.

B.Right-way risk has the impact of reducing DVA.

C.Right-way risk refers to the exposure tends to be high when the counterparty is more likely to default and vice versa.

D.

Wrong-way risk refers to the exposure tends to be high when the counterparty is more likely to default and vice versa.

解释：

D is correct.

考点：Wrong-Way Risk Vs. Right-Way Risk

解析：Wrong-Way Risk是指当交易对手更可能违约时，敞口往往很高，反之亦然。

Right-Way Risk会增加DVA而非减小。

老师，请解释一下A、B选项错因吗？

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1 个答案

李坏_品职助教 · 2021年08月15日

嗨，从没放弃的小努力你好：


这道题目考察的考点是wrong-way risk(WWR)和right-way risk的辨析。


wrong-way risk的意思是随着交易对手的违约，交易敞口非常高，从而会increase counterparty risk而不是reduce counterparty risk，所以A项错误。


Notes表述如下：

Wrong-way risk (WWR) is an outcome of any association, dependence, linkage, or
interrelationship between exposure and counterparty creditworthiness that generates an
overall increase in counterparty risk。


B项中的DVA是指的对于一家金融机构而言，假如它在交易中违约了，那么它只需要支付比账面债务小很多的金额(它只剩下这么多钱了)，因此对于金融机构来说，DVA是和CVA相反的。下图公式中减号后面的被减数就是DVA：

而根据right-way risk的概念，他是会降低overall counterparty risk（BCVA）的，所以DVA应该是增加的，因此B项错误。


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