NO.PZ2020033002000067
问题如下：
Ace Bank enter into a credit default swap with City Bank that settles based on the performance of White company. If City Bank and White have the same initial credit rating and everything else remains the same, when City Bank buys White, the value of this credit default swap would:
选项：
A.increases.
B.remains the same.
C.decreases.
D.be unclear.
解释：
C is correct.
考点： CDS
解析：
If City Bank buys White, the two entities will default at the same time. This increase in the default correlation makes the CDS contract less valuable.
这题没有说明是first to default 还是nth to default 呀。根据讲义，first to default 才是 相关性上升，premium下降
