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Fair · 2022年03月20日

可否将这题重新讲一遍，不太懂

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000062

问题如下：

A six-year CDS on a AAA-rated issuer is offered at 100bp with semiannual payments assuming no couterparty risk. The annualized LIBOR rate paid every six months is 4.8% for all maturities.If the yield on a six-year annual coupon bond of this issuer is 7%, is there any

arbitrage opportunity? If yes, how much is the return of the arbitrage strategy?

选项：

A.

No, there is no arbitrage opportunity.

B.

Yes, buy the bond and the CDS with a risk-free gain of 2.2%.

C.

Yes, buy the bond and the CDS with a risk-free gain of 1.2%.

D.

Yes, short the bond and sell CDS protection with a risk-free gain of 1.2%.

解释：

C is correct.

考点：CDS

解析：

Because LIBOR is flat, the fixed-coupon yield is also 4.6%, creating a spread of 700−480=220bp700-480=220bp on the bond. Going long the bond and short credit via buying the CDS yields an annual profit of 220−100=120bp220-100=120bp.

可否将这题重新讲一遍，不太懂

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2 个答案

DD仔_品职助教 · 2022年03月20日

嗨，爱思考的PZer你好：


这一部分在第15章一开始，有详细的讲解CDS的操作流程，同学如果记不太清了，可以回去再听一下这部分的视频。


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DD仔_品职助教 · 2022年03月20日

嗨，从没放弃的小努力你好：


同学你好，

题目说，六年期的AAA级的CDS，半年付息一次，coupon rate是1%，没有对手方风险。年化的LIBOR利率每半年付息一次利率是4.8%，对每个期限都一样。如果六年期的年化coupon bond的YTM是7%，请问是否存在套利机会？

因为LIBOR利率对于所有期限都一样，都是4.8%，六年期的coupon bond利率是7%，credit spread是7%-4.8%=2.2%，代表因为存在违约风险所获得的溢价是2.2%，这里我们默认LIBOR是一个rf，那也就是说投资债券可以获得2.2%的回报率。

而CDS相当于一个保险，这个保险的费率是1%，如果我卖一个CDS保险可以获得1%的收益率。

这俩产品一个收益2.2%，一个收益1%，那我肯定是买收益率高的bond，同时买一个CDS保险支付出去1%的费率，可以获得2.2%-1%=1.2%的套利差额。

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努力的时光都是限量版，加油！

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