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菲比姑妈 · 2021年09月12日

这道题我不是很理解

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000065

问题如下：

Vision hedge fund bought a CDS on asset X from MAC, through which, Vision has exchanged the risk of default on the asset X for:

选项：

A.

Default risk of MAC

B.

Default risk of a credit exposure identified by MAC

C.

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

D.

Joint risk of default by MAC and the asset X

解释：

D is correct.

考点：CDS

解析：

Vision is exposed to the joint risk of default by the MAC and asset X. If only one defaults, there is no credit risk.

如果把CDS看成是一种保险的话，MAC就类比是保险公司。


那这道题可以理解成从保险公司买一份保险，是exchange这个asset的风险和标的物的保险及保险公司的joint风险？



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1 个答案

品职答疑小助手雍 · 2021年09月12日

同学你好，可以理解成：把标的物违约的风险exchange成了标的物违约同时保险公司也违约的joint风险。

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