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Freya · 2022年01月23日

为什么选B

NO.PZ2021120102000023

问题如下:

Which of the following statements best describes how a single-name CDS contract is priced at inception?

选项:

A.

If the reference entity’s credit spread trades below the standard coupon rate, the CDS contract will be priced at a premium above par because the protection buyer pays a “below market” periodic coupon.

B.

If the reference entity’s credit spread trades above the standard coupon rate, the CDS contract will be priced at a discount to par because the protection seller effectively receives a “below market” periodic premium.

C.

Similar to fixed-rate bonds, CDS contracts are initially priced at par with a fixed coupon and a price that changes over time as the reference entity’s credit spreads change.

解释:

B is correct. For example, if the reference entity’s credit spread trades at 1.50% versus a standard coupon rate of 1.00%, the CDS contract will be priced at a discount equal to the 0.50% difference multiplied by the effective CDS spread duration times the contract notional.

Under A, the contract is priced at a premium to par because the protection buyer is receiving an “above market” periodic premium.

请问这道题为什么选B,没有看明白
1 个答案
已采纳答案

pzqa015 · 2022年01月24日

嗨,爱思考的PZer你好:


题目问的是如何在初始时刻,对CDS定价,用到的公式如下图

选项A:根据上图公式,如果期初CDS spread<fixed coupon,那么,CDS price>par,即 CDS priced at a premium above par。同时,CDS spread<fixed coupon意味着期间buyer交的保费(fixed coupon)多了,故应该是protection buyer pays a “above market” periodic coupon,而不是”below market” periodic coupon。A错。

选项B:根据上图公式,如果期初CDS spread>fixed coupon,那么,CDS price<par,即CDS priced at a discount to par。同时,CDS spread>fixed coupon意味着期间buyer交的保费(fixed coupon)少了,所以说protection seller receives a “below market” periodic premium是没问题的。

选项C:这句话说CDS与fixed rate bond类似,期初priced at par,显然是不正确的。保护IG的CDS的fixed coupon是1%,保护HYB的CDS的fixed coupon是5%。对于期初CDS spread或者说credit spread不等于1%的IG或者CDS spread不等于5%的HYB,对应CDS期初就不是priced at par的,只有当期初CDS spread等于1%的IG或者CDS spread等于5%的HYB,对应CDS期初才是priced at par。C选项的后半句是没问题的。

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