老师麻烦有时间看下这个题？

NO.PZ2020033002000066

问题如下：

White, a manufacture company, borrowed USD 500 million from Ace Bank. To hedge its debt exposure to White, Ace Bank enters into a credit default swap transaction with City Bank, where City Bank would fully compensate Ace Bank if White defaults. If the defaults of Ace Bank, City Bank, and White are independent and assume their default probabilities are 0.5%, 0.6%, and 4.0%, respectively. What is the probability that Ace Bank will suffer a credit loss in its exposure to White?

选项：

4.0%

0.6%

0.02%

0.024%

解释：

D is correct.

考点：CDS

解析：

当 White 违约且 City Bank 也违约的时候， Ace Bank 要遭受 credit loss.

0.6% * 4.0% = 0.024%

为什么不是4%？

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DD仔_品职助教 · 2022年04月24日

嗨，爱思考的PZer你好：

这个题关键要读懂题目在说啥。

white问ace借钱，ace担心white不还钱就与city签了一个CDS，相当于一个保险，如果说white不还钱了，city就要还钱。

所以只有当white和city同时违约的时候，ace才会真的有损失，这个概率就是他俩的违约概率直接相乘，4%*0.6%。

4%只是white不还钱的概率，white不还钱的时候CDS会生效，city会还钱，所以ace没有实际loss。

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NO.PZ2020033002000066 问题如下 White, a manufacture company, borroweUS500 million from ABank. To hee its exposure to White, ABank enters into a cret fault swtransaction with City Bank, where City Bank woulfully compensate ABank if White faults. If the faults of ABank, City Bank, anWhite are inpennt anassume their fault probabilities are 0.5%, 0.6%, an4.0%, respectively. Whis the probability thABank will suffer a cret loss in its exposure to White? 4.0% 0.6% 0.02% 0.024% is correct.考点C解析当 White 违约且 City Bank 也违约的时候， ABank 要遭受 cret loss.0.6% * 4.0% = 0.024% 老师这道题和前面几道题我感觉如果一个公司买了其他公司的债券，同时又买了C，这种情况这个公司要遭受违约的话，一定是其他公司的债券和C同时违约才会发生cret loss。这个知识点在哪见过啊？

2023-07-20 12:47 1 · 回答

老师麻烦有时间看下这个题？

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