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yewei1989 · 2022年03月26日

cds price

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002402

问题如下：

Oncethe manager purchases CDS protection, the issuer’s CDS spread immediately fallsto 1.60%. What is the investor’s approximate mark-to-market gain or loss for acontract notional of €10,000,000?

选项：

A.

The manager realizes an approximate loss of €131,250.

B.

The manager realizes an approximate gain of €131,250.

C.

The manager realizes an approximate gain of €525,000.

解释：

A is correct. The CDS spread decline of 0.15% leads toa new CDS contract price of 94.75 per 100 face value (=1 – (EffSpreadDurCDS× ∆Spread) or (8.75 × 0.60%)).

The protection buyer (shortrisk) position therefore realizes an approximate mark-to-market loss of€131,250 (=(94.75 – 93.4375)/100 × €10,000,000) becauseof the 0.15% decline in CDS spreads.

直接用credit spread change 0.15乘以spread duration 再乘以 notional ，可以嘛？

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1 个答案

pzqa015 · 2022年03月27日

嗨，从没放弃的小努力你好：


可以

----------------------------------------------
努力的时光都是限量版，加油！

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