NO.PZ2020021601000012
问题如下：
Ivan Paulinic, an analyst at a large wealth management firm, meets with his supervisor to discuss adding financial institution equity securities to client portfolios.
Paulinic gathers data on three national banks that meet initial selection criteria but require further review.
Paulinic investigates R- bank’s risk management practices with respect to the use of credit derivatives to enhance earnings, following the 2008 financial crisis. Exhibit 4 displays R- bank’s exposure over the last decade to credit derivatives not classified as hedges.
Based only on Exhibit 4, R- bank’s use of credit derivatives since 2007 most likely:
选项：
A.increased posted collateral.
B.decreased the volatility of earnings from trading activities.
C.indicates consistent correlations among the relevant risks taken.
解释：
B is correct.
Exhibit 4 indicates that exposure to free- standing credit derivatives dramatically declined from a peak during the global financial crisis in 2008. If a derivatives contract is classified as freestanding, changes in its fair value are reported as income or expense in the income statement at each reporting period. The immediate recognition of a gain or loss in earnings, instead of reporting it in other comprehensive income, can lead to unexpected volatility of earnings and missed earnings targets. As a result, earnings volatility from the use of credit derivatives most likely decreased.
可以从credit derivative对冲角度理解，类比经济差时用bond对冲？
因为经济差，所以购买bond对冲。同理credit derivative不能用作对冲，说明其风险，波动大。
根据题目的数据，credit derivative的投入逐年递减，相应带来的earning也就减少了，而且波动也减少了
