开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

梦梦 · 2025年05月15日

有一个地方不明白

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2024042601000057

问题如下：

Banko, Inc., entered into a $10 million notional, 7-year CDS as a protection buyer three years ago at a spread of 1.85%. The current 4-year CDS spread for the same reference entity is 2.30% based on the PV of expected payoff of 0.0312 per $1 notional. The value of the CDS to Banko, Inc., is closest to:

选项：

A.

−$55,000

B.

−$60,900

C.

+$61,000

D.

+$53,000

解释：

Recognize that the value of the CDS is calculated such that:

Current PV of expected payment = current PV of expected payoff = 0.0312

Using the current spread of 2.30%, the current PV of expected payments = s=0.312/0.023=1.3565

Applying this value to the initial CDS spread of 1.85% yields:

PV of expected payments = 0.0185*1.3565=0.0251

Value to the protection buyer = PV of expected payoff - PV of expected payments = 0.0312 - 0.0251 = 0.0061 per 1$ notional.

The swap value for the $10 million notional = 0.0061 × 10,000,000 = $61,000. Because the spread has widened, the protection buyer gains.

老师，蓝框的现值具体是哪个时刻的价值？现在不是已经进入到第四年了吗？现在买cds是2.3%，2.3%不是已经是现值了吗？

添加评论
1 个答案

pzqa27 · 2025年05月16日

嗨，爱思考的PZer你好：


蓝框的现值具体是哪个时刻的价值？

CDS的估值基于当前时刻（即第三年末，剩余四年期限）的未来现金流现值。


现在不是已经进入到第四年了吗？现在买cds是2.3%，2.3%不是已经是现值了吗？

2.3%是当前时间节点下相同到期日的合约的价格，并不是价值，所以需要通过当前合约价格算出参数X=1.3565，然后才能计算buyer的价值。

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

  • 1

    回答

  • 0

    关注

  • 10

    浏览
相关问题

NO.PZ2024042601000057 问题如下 Banko, Inc., entereinto a $10 million notional, 7-yeC a protection buyer three years ago a spreof 1.85%. The current 4-yeC sprefor the same referenentity is 2.30% baseon the PV of expectepayoff of 0.0312 per $1 notional. The value of the C to Banko, Inc., is closest to: A.−$55,000 B.−$60,900 C.+$61,000 +$53,000 Recognize ththe value of the C is calculatesuthat:Current PV of expectepayment = current PV of expectepayoff = 0.0312Using the current spreof 2.30%, the current PV of expectepayments = s=0.312/0.023=1.3565Applying this value to the initiC spreof 1.85% yiel:PV of expectepayments = 0.0185*1.3565=0.0251Value to the protection buyer = PV of expectepayoff - PV of expectepayments = 0.0312 - 0.0251 = 0.0061 per 1$ notional.The swvalue for the $10 million notion= 0.0061 × 10,000,000 = $61,000. Because the sprehwine the protection buyer gains. 没看懂，这C的估值怎么这么怪？C buyer Value = PV(Payment) + PV(accrupayment) - PV(payoff)这题怎么没有按照这个公式来？

2024-10-27 11:20 2 · 回答

NO.PZ2024042601000057 问题如下 Banko, Inc., entereinto a $10 million notional, 7-yeC a protection buyer three years ago a spreof 1.85%. The current 4-yeC sprefor the same referenentity is 2.30% baseon the PV of expectepayoff of 0.0312 per $1 notional. The value of the C to Banko, Inc., is closest to: A.−$55,000 B.−$60,900 C.+$61,000 +$53,000 Recognize ththe value of the C is calculatesuthat:Current PV of expectepayment = current PV of expectepayoff = 0.0312Using the current spreof 2.30%, the current PV of expectepayments = s=0.312/0.023=1.3565Applying this value to the initiC spreof 1.85% yiel:PV of expectepayments = 0.0185*1.3565=0.0251Value to the protection buyer = PV of expectepayoff - PV of expectepayments = 0.0312 - 0.0251 = 0.0061 per 1$ notional.The swvalue for the $10 million notion= 0.0061 × 10,000,000 = $61,000. Because the sprehwine the protection buyer gains. Using the current spreof 2.30%, the current PV of expectepayments = s=0.312/0.023=1.3565Applying this value to the initiC spreof 1.85% yiel:PV of expectepayments = 0.0185*1.3565=0.0251这两排这样计算的公式和理由是什么呢，麻烦讲解下

2024-10-27 10:16 1 · 回答