信用习题带答案

1金程教育FRM上海强化班讲义信用风险强化习题讲师吴轶CFA，FRM，CQF，SII日期2009年10月地点上海北京深圳专业来自百分百的投入COPYRIGHT2009BYGFEDU2吴轶职称金程教育学术研发总监，金程教育资深培训师，CFA（注册金融分析师），FRM（金融风险管理师），CQF（特许金融工程师），SII（英国证券投资分析师），复旦大学金融工程硕士，复旦大学财务管理学士，香港理工大学金融数学学士，中欧国际工商管理学院中国金融研究中心研究员，国家外汇管理局储备管理司风险管理处研究员，新加坡证券交易协会会员。授课目前为止，共讲授CFALEVELI40次，CFALEVELII20次，CFALEVEL5次，FRM交通银行内部培训班2次，公开班5次，CFRM交通银行内部培训班2次，复旦MBA宏观经济学二次，复旦IMBA国际财务管理二次，复旦博士生高等金融计量2次，复旦硕士生金融时间序列分析2次和金融风险管理2次。倍受赞誉。著作参与编写金融计量经济学教程；ISTP收入英文论文（独立作者）两篇；数量经济技术经济研究两篇论文；中国民营经济创新国际论坛出版英文会议论文一篇；第二届全国高等计量经济学年会出版会议论文一篇；高盛亚洲内部产品研发报告一份；花旗银行内部风险管理研究报告四篇；2007年全国博士生论坛管理学分论坛论文一等奖。客户国家外汇管理局，高盛集团（亚洲）有限公司，北京高华证券有限公司，花旗银行（中国）有限公司，莱曼兄弟（香港），德意志银行上海分行，交通银行总行。联系电话8613917952237EMAILWUYI4020YAHOOCOMCN专业来自百分百的投入COPYRIGHT2009BYGFEDUMEASURINGCREDITRISK2006FRM73THEBIDASKSPREADISADETERMINANTOFLIQUIDITYRISKREFLECTINGTHECOSTOFTHESUPPLYOFIMMEDIACYINAMARKETWHICHOFTHEFOLLOWINGARENOTVARIABLECOSTTODEALERSOFSUPPLYINGIMMEDIACYVARIABLECOSTSMEANTHATTHECOSTTODEALERSRISESASTHENUMBEROFTRANSACTIONSORTHEDEMANDFORIMMEDIACYRISESAPROCESSINGORDERFLOWCOSTSBCREDITSURVEILLANCECOSTSFORCOUNTERPARTYCREDITWORTHINESSCINVENTORYCARRYINGCOSTSDHEDGINGCOSTSANSWERB信用监督成本是必须支付的固定成本。其他项都是可变的，随着总量的变化而变化。3专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM95WHATWILLBETHELEASTEFFECTIVESTRESSTESTFORCREDITRISKACHANGINGDEFAULTCORRELATIONSBETWEENOBLIGORSBCHANGINGMARKETRATES,SUCHASINTERESTRATESANDFOREIGNEXCHANGERATESCCHANGINGLIQUIDITYFACTORS,SUCHASAVERAGETRADINGVOLUMESANDBIDOFFERSPREADSDCHANGINGCREDITSPREADSANDVOLATILITYANSWERB4专业来自百分百的投入COPYRIGHT2009BYGFEDUPROBABILITYOFDEFAULTPD2007FRM60THESPREADONAONEYEARBBBRATEDBONDRELATIVETOTHERISKFREETREASURYOFSIMILARMATURITYIS2ITISESTIMATEDTHATTHECONTRIBUTIONTOTHISSPREADBYALLNONCREDITFACTORSEG,LIQUIDITYRISK,TAXESIS08ASSUMINGTHELOSSGIVENDEFAULTRATEFORTHEUNDERLYINGCREDITIS60,WHATIS,APPROXIMATELY,THEIMPLIEDDEFAULTPROBABILITYFORTHISBONDA333B500C300D200ANSWERB5专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM41CONSIDERAPORTFOLIOOFSIXEQUALLYWEIGHTEDBONDSEACHBONDHASADEFAULTPROBABILITYOF4PERANNUM,ANDTHEDEFAULTSAREINDEPENDENTOFEACHOTHERWHATISTHEPROBABILITYTHATTHISPORTFOLIOWILLSEEITSFIRSTDEFAULTBYTHEENDOFTHESECONDYEARASSUMETHESAMEDEFAULTPROBABILITIESFORFIRSTANDSECONDYEARSFORTHESURVIVINGBONDSA43B39C78D24ANSWERD6专业来自百分百的投入COPYRIGHT2009BYGFEDUEXPOSUREATDEFAULTEAD2007FRM52BETABANKOWNSAPORTFOLIOOF10AARATEDBONDSFROM10DIFFERENTISSUERSWITHATOTALVALUEOFUSD200MILLIONTHEONEYEARPROBABILITYOFDEFAULTFOREACHISSUERIS5,ANDTHERECOVERYRATEFOREACHISSUEEQUALS40THEONEYEAREXPECTEDLOSSOFTHEPORTFOLIOISAUSD50MILLIONBUSD80MILLIONCUSD60MILLIONDUSD40MILLIONANSWERC7专业来自百分百的投入COPYRIGHT2009BYGFEDU2007FRM66SUPPOSETHERATEONCOMPANYASONEYEARZEROCOUPONBONDIS100ANDTHEONEYEARTBILLRATEIS80ASSUMETHETBILLISRISKLESSANDTHEPROBABILITYOFDEFAULTOFCOMPANYASBONDIS10WHATISTHELOSSGIVENDEFAULTOFCOMPANYABONDA182B818C200D800ANSWERA8专业来自百分百的投入COPYRIGHT2009BYGFEDU2006FRM90UNDERTHECOMPREHENSIVEAPPROACHFORTHEFOUNDATIONINTERNALRATINGSBASEDAPPROACHUNDERBASE2,WHICHOFTHEFOLLOWINGMETHODSISUSEDFORCALCULATINGTHEEFFECTIVELOSSGIVENDEFAULTLGDWHERELGDISTHEEFFECTIVELOSSGIVENDEFAULTCONSIDERINGRISKMITIGATIONMEASURESLGDISTHATOFTHESENIORUNSECUREDEXPOSUREBEFORERECOGNITIONOFCOLLATERAL45EISTHECURRENTVALUEOFTHEEXPOSUREIECASHLENTORSECURITIESLENTORPOSTEDEISTHEEXPOSUREVALUEAFTERRISKMITIGATIONALGDLGDE/EBLGDLGDEECLGDLGDEEDLGDLGDEEANSWERA9专业来自百分百的投入COPYRIGHT2009BYGFEDU2006FRM122CONSIDERTWOPORTFOLIOSONEWITHUSD100MILLIONCREDITEXPOSURETOASINGLEBRATEDCOUNTERPARTYTHESECONDWITHUSD100MILLIONINCREDITEXPOSURESPLITEVENLYBETWEEN50BRATEDCOUNTERPARTIESWHICHOFTHEFOLLOWINGISCORRECTATHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIOBTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISEQUALTOTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIOCTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOEQUALTOTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISEQUALTOTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIODTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOEQUALTOTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIO10专业来自百分百的投入COPYRIGHT2009BYGFEDUANSWERD如果信用产品的相关性下降，则信用风险下降。专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM139SUPPOSEBANKASELLSEXPOSUREINAMORTGAGEPORTFOLIOTOBANKBINORDERTODETERMINETHECREDITRISKOFSUCHATRANSACTION,ALLOFTHEFOLLOWINGMUSTBETAKENINTOACCOUNTEXCEPTAPROBABILITYOFDEFAULTOFTHEMORTGAGEPORTFOLIOBPROBABILITYOFDEFAULTOFBANKBCCORRELATIONBETWEENTHEDEFAULTOFBANKBANDTHEMORTGAGEPORTFOLIODCORRELATIONBETWEENBANKAANDBANKBANSWERD12专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM114YOUHAVEACREDITEXPOSURETOBANKTHREEWHICHOFTHEFOLLOWINGACTIONSWILLNOTREDUCEHISEXPOSUREASHORTINGTHEBONDSOFBANKTHREEBBUYINGPUTSONTHEEQUITYOFBANKTHREECENTERINGACREDITDEFAULTSWAPWITHBANKTHREEDOBTAININGCOLLATERALFROMBANKTHREEANSWERC13专业来自百分百的投入COPYRIGHT2009BYGFEDUISDA2006FRM102WHICHOFTHEFOLLOWINGISNOTCONSIDEREDANEVENTOFDEFAULTONTHEREFERENCEASSETUNDERLYINGACREDITDEFAULTSWAP,WITHTHE2003ISDADOCUMENTATIONABANKRUPTCYBRESTRUCTURINGCRATINGAGENCYDOWNGRADEDOBLIGATIONACCELERATIONANSWERCRATINGDOWNGRADE不是信用风险。14专业来自百分百的投入COPYRIGHT2009BYGFEDURECOVERYRATE2007FRM49THEMANAGEMENTOFABANKWANTSTOLIMITTHECREDITLOSSTOASPECIFICSECTORWITHIN5CONCENTRATIONLIMITISTHEMAXIMUMLOSSASAPERCENTAGEOFCAPITALDIVIDEDBYTHEINVERSEOFTHELOANLOSSRATEWITHANESTIMATEDRECOVERYRATEOF60,WHATSHOULDTHECONCENTRATIONLIMITTOTHATSECTORBEASAPERCENTAGEOFCAPITALA5B125C833D3ANSWERC15583360专业来自百分百的投入COPYRIGHT2009BYGFEDU2006FRM116WHICHOFTHEFOLLOWINGISNOTACOMMONLYUSEDMETHODFORGENERATINGARECOVERYRATEFUNCTIONANONPARAMETRICKERNELESTIMATIONBCUBICSPLINEESTIMATIONCASSUMETHERECOVERYRATEFOLLOWSABETADISTRIBUTIONDESTIMATECONDITIONALDENSITIESWITHGENERALIZEDMETHODOFMOMENTSANSWERBCUBICSPLINE估计是画出YIELDCURVE使用的方法。16专业来自百分百的投入COPYRIGHT2009BYGFEDUCUMULATIVEANDMARGINALDEFAULTRATES2007FRM51MRROSENQVIST,ASSETMANAGERATBCDBANK,HOLDSAPORTFOLIOOFSEK200MILLIONTHEPORTFOLIOCONSISTSOFBBBRATEDBONDSASSUMETHATTHEONEYEARPROBABILITYOFDEFAULTIS4,THERECOVERYRATEIS60,ANDDEFAULTAREUNCORRELATEDOVERYEARSWHATISTHETWOYEARCUMULATIVEEXPECTEDCREDITLOSSONMRROSENQVISTSPORTFOLIOASEK640MILLIONBSEK635MILLIONCSEK960MILLIONDSEK948MILLIONANSWERB17专业来自百分百的投入COPYRIGHT2009BYGFEDU2006FRM15ASSUMETHEMARGINALMONTHLYDEFAULTRATESCONDITIONALONNOPREVIOUSDEFAULTFORAFIRMARE2EACHMONTHDURINGTHEFIRSTYEARAND3EACHMONTHDURINGTHESECONDYEARWHATISTHEMARGINALPROBABILITYOFDEFAULTINGOVERTHETHESECONDYEAR,CONDITIONALONNOTHAVINGDEFAULTEDTHEFIRSTYEARAINSUFFICIENTINFORMATIONTOANSWERTHEQUESTIONB306C360D474ANSWERB（12）12（13）12（12）12（1D）SURVIVALRATE18专业来自百分百的投入COPYRIGHT2009BYGFEDUCREDITRATING2006FRM103WHICHOFTHEFOLLOWINGISNOTMODELINGAPPROACHTOCREDITSCORINGAKNEARESTNEIGHBORCLASSIFIERMODELSBLOGITANDPROFITMODELSCFISHERLINEARDISCRIMINATESANALYSISDBAYESIANVECTORAUTOREGRESSIONANSWERD第四种不是信用评分的方式。19专业来自百分百的投入COPYRIGHT2009BYGFEDU2006FRM111WHICHOFTHEFOLLOWINGISNOTACORRECTSTATEMENTABOUTINTERNALCREDITRATINGSATHE“ATTHEPOINTINTIME”APPROACHMAKESHEAVYUSEOFECONOMETRICMODELINGTHATRELATESCURRENTFINANCIALVARIABLESTOESTIMATEDDEFAULTRISKBTHE“THROUGHTHECYCLE”APPROACHISFORWARDLOOKINGANDATTEMPTSTOINCORPORATEFUTUREECONOMICSCENARIOSINTOCURRENTDEFAULTRISKESTIMATESC“ATTHEPOINTINTIME”CREDITSCORESVOLATILITYISMUCHHIGHERTHAN“THROUGHTHECYCLE”SCOREVOLATILITYDASOUNDINTERNALSYSTEMUSES“ATTHEPOINTINTIME”SCORINGFORSMALLTOMEDIUMSIZEDCOMPANIESANDPRIVATEFIRMSAND“THROUGHTHECYCLE”SCORINGFORLARGEFIRMSANSWERB20专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM79WITHREGARDTOEVALUATINGSOVEREIGNRISK,WHICHOFTHEFOLLOWINGSTATEMENTSISINCORRECTABANKRUPTCYLAWDOESNOTTYPICALLYPROTECTINVESTORSFROMSOVEREIGNRISKBDEBTREPUDIATIONISAPOSTPONEMENTOFALLCURRENTANDFUTUREFOREIGNDEBTOBLIGATIONSOFABORROWERCDEBTRESCHEDULINGOCCURSWHENAGROUPOFCREDITORSDECLARESAMORATORIUMONDEBTOBLIGATIONSANDSEEKSTORESCHEDULETERMSDSOVEREIGNRISKCANBEACAUSEOFDEFAULTINANONGOVERNMENTALBORROWEROFHIGHCREDITQUALITYANSWERB21专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM74MOODYSESTIMATESTHEAVERAGERECOVERYRATEFORSENIORUNSECUREDDEBTTOBENEARESTTOA20B40C60D80ANSWERATHERECOVERYRATEONLOANSISTYPICALLYHIGHERTHANTHATONBONDSHENCE,THECREDITRATING,IFITINVOLVESBOTHPROBABILITYOFDEFAULTANDRECOVERY,SHOULDBEHIGHERFORLOANSTHANFORBONDS22专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM59ASSUMINGTHE1YEARTBILLRATEOF425ANDTHERATEON1YEARZEROCOUPONCORPORATEBONDSIS775,WHICHOFTHEFOLLOWINGNUMBERSISCLOSESTTOTHEPROBABILITYTHATACORPORATELOANWILLBEREPAIDFULLYASSUMINGTHATTHECREDITSPREADISDUETOFIRMSPECIFICCREDITRISKALONEA9675B325C9621D379ANSWERA23专业来自百分百的投入COPYRIGHT2009BYGFEDUTRANSITIONMATRIX2007FRM87CONSIDERTHEFOLLOWINGONEPERIODTRANSITIONMATRIXIFACOMPANYISORIGINALLYINSTATEA,WHATISTHEPROBABILITYTHATTHECOMPANYWILLHAVEDEFAULTEDSTRICTLYBEFORETHEFOURTHTRANSITIONPERIODFROMNOWA0500B1875C1375D087524专业来自百分百的投入COPYRIGHT2009BYGFEDUANSWERCAABD0950050100048ABBD00508010004ABDD005010005SOADPROBABILITY0004800040005137525专业来自百分百的投入COPYRIGHT2009BYGFEDUTHEMERTONMODEL2005FRM101WHICHOFTHEFOLLOWINGSTATEMENTSABOUTTHETERMSTRUCTUREOFCREDITSPREADSINMERTONSMODELISCORRECTATHETERMSTRUCTUREOFCREDITSPREADSDEPENDSONTHEINITIALLEVERAGEOFTHEFIRMTHOSEWITHTHEHIGHESTLEVERAGECOULDHAVEADOWNWARDSLOPINGCREDITYIELDCURVE,WHILERELATIVELYSAFEFIRMSWOULDHAVEANUPWARDSLOPINGCURVEBTHETERMSTRUCTUREOFCREDITSPREADSDEPENDSONTHETREASURYTERMSTRUCTUREWHENTHETREASURYCURVEISSTEEP,THEEXPECTEDINCREASEINRATESMAKESTHEPRESENTVALUEOFCOUPONSSMALLERANDREDUCESTHEVALUEOFTHEDEBTINFUTUREPERIODS,MAKINGTHECREDITTERMSTRUCTUREUPWARDSLOPINGCTHETERMSTRUCTUREOFCREDITSPREADSISALWAYSUPWARDSLOPINGBECAUSEBONDHOLDERSCANNEVERRECEIVEMORETHANPARBUTMIGHTLOSEDUETODEFAULTANDTHOSEEXPECTEDLOSSESINCREASEWITHTHEBONDSMATURITYDTHETERMSTRUCTUREOFCREDITSPREADSISFLATBECAUSEMERTONSMODELASSUMESACONSTANTINTERESTRATEANSWERC26专业来自百分百的投入COPYRIGHT2009BYGFEDUKMVMODEL2007FRM111YOUDONTHAVEACCESSTOKMVSDATAYOURBOSSWANTSYOUTOESTIMATETHEPROBABILITYOFDEFAULTOFACREDITTODOSO,YOUUSETHEMERTONMODELBECAUSETHECREDITYOUARECONSIDERINGHASNOSYSTEMATICRISKINMERTONSMODEL,THEDISTANCETODEFAULTANDEXPECTEDDEFAULTFREQUENCYAREANEGATIVELYANDLINEARLYRELATEDBPOSITIVELYANDLINEARLYRELATEDCNEGATIVELYANDNONLINEARLYRELATEDDPOSITIVELYANDNONLINEARLYRELATEDANSWERC27专业来自百分百的投入COPYRIGHT2009BYGFEDU2006FRM49COMPANYYHASASSETSVALUEDATUSD205MILLIONTHEVALUEOFITSSHORTTERMDEBTISUSD28MILLION,THEBOOKVALUEOFITSLONGTERMDEBTISUSD115MILLION,ANDTHEVOLATILITYOFITSASSETSISUSD58MILLIONCALCULATETHEDISTANCETODEFAULTUSINGTHEKMVAPPROACHA107B147C155D305ANSWERAKMVVK/SIGMAV20511528/58107根据HANDBOOK定义，债券的价值长期债券的价值05短期债券的帐面价值，KMV2051151/228/58206在本题中，GARP协会采用了不除以2的做法。28专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM56WHICHOFTHEFOLLOWINGVARIABLESISNOTUSEDINTHEKMVMODELTOESTIMATEAFIRMSPROBABILITYOFDEFAULTATHEBOOKVALUEOFTHEFIRMSEQUITYBTHE1ITMSSTOCKPRICEVOLATILITYCTHEMARKETVALUEOFTHEFIRMSEQUITYDTHEMARKETVALUEOFTHEFIRMSDEBTANSWERA29专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM108THEKMVMODELPRODUCESAMEASURECALLEDEXPECTEDDEFAULTFREQUENCYWHICHOFTHEFOLLOWINGSTATEMENTSABOUTTHISVARIABLEISCORRECTAITDECREASESWHENTHELEVERAGEOFTHEFIRMFALLSBITINCREASESWHENTHESTOCKPRICEOFTHEFIRMHASBEENRISINGCITISTHERISKNEUTRALPROBABILITYOFDEFAULTFROMMERTONSMODELDITTELLSINVESTORSHOWTHEDEFAULTRISKOFABONDISCORRELATEDWITHTHEDEFAULTRISKOFOTHERBONDSINTHEPORTFOLIOANSWERA30专业来自百分百的投入COPYRIGHT2009BYGFEDUDISTRIBUTIONOFCREDITEXPOSURE2005FRM9INTHECREDITRISKMODEL,DEFAULTEVENTSAREASSUMEDTOFOLLOWAPOISSONDISTRIBUTIONASSUMETHEAVERAGENUMBEROFDEFAULTSINAPORTFOLIOISEQUALTOFIVEWHATISTHEPROBABILITYTHATFOURDEFAULTSWILLOCCUROVERTHENEXTYEARA1563B1755C954DNOTENOUGHINFORMATIONTOANSWERTHEQUESTIONANSWERB31专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM53INTHECREDITRISKMODEL,THELOSSDISTRIBUTIONFORABROADLYDIVERSIFIEDPORTFOLIOISDERIVEDBYASEPARATINGLOSSESINTOBANDS,WITHTHELEVELOFEXPOSUREINEACHBANDREPRESENTEDBYARANGEOFAMOUNTSBSEPARATINGLOSSESINTOBANDS,WITHTHELEVELOFEXPOSUREINEACHBANDREPRESENTEDBYASINGLENUMBERCSEPARATINGLOSSESINTOBANDSBASEDONTHEPROBABILITYOFDEFAULTFOREACHOBLIGOROVERONEYEARDSEPARATINGLOSSESINTOBANDSBASEDONTHEDEFAULTRATEVOLATILITYFOREACHOBLIGORANSWERA32专业来自百分百的投入COPYRIGHT2009BYGFEDUEXPECTEDCREDITEXPOSURE2007FRM79ASPARTOFACURRENCYHEDGINGSTRATEGY,AUSPORTFOLIOMANAGERENTEREDAONEYEARFORWARDCONTRACTWITHABANKTODELIVEREUR5,000,000FORUSDATTHEENDOFTHEYEARATTHEBEGINNINGOFTHEYEAR,THEONEYEARFORWARDRATEWAS09216USD/EURSIXMONTHSINTOTHECONTRACT,THESPOTRATEIS09201USD/EUR,THEUSDINTERESTRATEIS65,ANDTHEEURINTERESTRATEIS625IFTHECURRENTSPOTRATE09201USD/EURWERETOCONTINUEFORTHENEXTSIXMONTHS,WHATISTHECREDITRISKTHATTHEPORTFOLIOMANAGERWOULDBEARATMATURITYAUSD7,264BUSD7,042CUSD7,500DUSD7,273ANSWERC信用暴露风险09216092015000000750033专业来自百分百的投入COPYRIGHT2009BYGFEDU2006FRM20WHICHOFTHEFOLLOWINGREDUCESACREDITEXPOSUREBYSHORTENINGTHEEFFECTIVEMATURITYOFAPOSITIONILIQUIDITYPUTIICREDITTRIGGERABOTHIANDIIBIONLYCIIONLYDNEITHERINORIIANSWERAI和II都是要求提前归还现金，则MATURITY（到期时间）减少。34专业来自百分百的投入COPYRIGHT2009BYGFEDUCREDITEXPOSUREMODIFIERS2005FRM14SYLVIA,APORTFOLIOMANAGER,ESTABLISHEDAYANKEEBONDPORTFOLIOHOWEVER,SHEWANTSTOHEDGETHECREDITANDINTERESTRATERISKOFHERPORTFOLIOWHICHOFTHEFOLLOWINGDERIVATIVESWILLBESTFITSYLVIASNEEDAATOTALRETURNSWAPBACREDITDEFAULTSWAPCACREDITSPREADOPTIONDACURRENCYSWAPANSWERA35专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM91YOUHAVEAUSD50MILLIONSHORTATTHEMONEYEUR/USDPUTOPTIONPOSITIONANDASHORTATTHEMONEYUSD50MILLIONFXFORWARDEUR/USDPOSITIONWITHABCBANKWHICHPOSITIONADDSMORECREDITRISKATHEFXOPTIONBTHEFXFORWARDCTHEYBOTHHAVEAPPROXIMATELYTHESAMECREDITRISKASTHENOTIONALAMOUNTANDTHECOUNTERPARTYARETHESAMEDTHEREISNOTENOUGHINFORMATIONTOCOMETOACONCLUSIONANSWERB36专业来自百分百的投入COPYRIGHT2009BYGFEDU2005FRM96WHICHOFTHEFOLLOWINGSTATEMENTSCORRECTLYDESCRIBESTHEIMPACTOFSIGNINGANETTINGAGREEMENTWITHACOUNTERPARTYAITWILLINCREASEORHAVENOEFFECTONTHETOTALCREDITEXPOSUREBITWILLDECREASEORHAVENOEFFECTONTHETOTALCREDITEXPOSURECITWILLINCREASEEXPOSUREIFEXPOSUREISNETLONGANDDECREASEEXPOSUREIFITISNETSHORTDITSIMPACTISIMPOSSIBLETODETERMINEBASEDONTHEAVAILABLEINFORMATIONANSWERB37专业来自百分百的投入COPYRIGHT2009BYGFEDUHEDGINGPRICINGTHECREDITDERIVATIVES2007FRM45BANKBHASAEUR100MILLIONLOANPORTFOLIOANDHASSETASIDEARESERVETOCOVERTHEFIRSTEUR20MILLIONINDEFAULTRELATEDLOSSESIFTHEBANKWANTSTOACQUIREPROTECTIONFORTHEREMAININGEUR80MILLIONINRISKEXPOSURE,WHICHOFTHEFOLLOWINGSOLUTIONSWOULDWORKANDWOULDEXPOSETHEBANKTOTHELEASTAMOUNTOFCOUNTERPARTYRISKAISSUEACREDITLINKEDNOTEINWHICHINTERESTANDPRINCIPALMAYBEWITHHELDFROMINVESTORSTOCOVERUPTOEUR80MILLIONINLOSSESABOVETHEFIRSTEUR20MILLIONONTHELOANPORTFOLIOBBUYCREDITPROTECTIONINASENIORSUBORDINATEDCREDITDEFAULTSWAPTHATCOVERSEUR80MILLIONINLOSSESABOVETHEFIRSTEUR20MILLIONCBUYCREDITINSURANCEFORLOSSESUPTOEUR80MILLIONINEXCESSOFEUR20MILLIONONTHELOANPORTFOLIODALLTHREEOFTHEABOVECHOICESWORKANDEXPOSETHEBANKTOTHESAMEAMOUNTOFCOUNTERPARTYRISKANSWERA38专业来自百分百的投入COPYRIGHT2009BYGFEDU2007FRM55SUPPOSETHERETURNONUSTREASURIESIS3ANDARISKYBONDISCURRENCYYIELDING15ATRADERYOUSUPERVISECLAIMSTHATHEWOULDBEABLETOMAKEANARBITRAGEEARNING5USINGUSTREASURIES,THERISKYBOND,ANDTHECREDITDEFAULTSWAPWHICHOFTHEFOLLOWINGCOULDBETHETRADERSSTRATEGY,ANDWHATISTHECREDITDEFAULTSWAPPREMIUMASSUMETHEREARENOTRANSACTIONCOSTSAGOLONGTHETREASURY,SHORTTHERISKYBOND,ANDSELLTHECREDITDEFAULTSWAPWITHPREMIUMOF7BGOLONGTHETREASURY,SHORTTHERISKYBOND,ANDBUYTHECREDITDEFAULTSWAPWITHPREMIUMOF6CSHORTTHETREASURY,INVESTINTHERISKYBOND,ANDBUYTH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