融跃教育

来自:FRM > 二级 > 电脑版 > Unit7 2021-04-14 17:59
老师能不能解释一下 A long put option is subject to wrong-way risk if both risk exposure and counterparty default probability decrease为什么错. A long call option experiences right-way risk if the interaction between risk exposure and counterparty default probability
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liuxuyao    2021-04-15 10:22

致精进的你:

同学,A选项意思是EE和PD都下降会导致wrong-way risk,是错误的哈,因为wrong-way risk是由于EE和PD都上升,导致CVA上升;B选项是正确的,EE和PD使得CVA下降,是right-way risk

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