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cika · 2022年11月27日

请问C错在哪里

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C错在哪里,麻烦老师详细讲下,谢谢

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已采纳答案

pzqa015 · 2022年11月27日

嗨,努力学习的PZer你好:


CDS price:1+(fixed coupon-spread)*ED,如果期初spread>fixed coupon,那么CDS price<1,此时是discount;如果期初spread<fixed coupon,那么CDS price>1,此时是premium。

C选项说initially priced at par,显然是错误的,只有期初的spread=fixed coupon,CDS才会price at par。

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