信用習(xí)題帶答案

1金程教育FRM上海強(qiáng)化班講義信用風(fēng)險(xiǎn)強(qiáng)化習(xí)題講師吳軼CFA，F(xiàn)RM，CQF，SII日期2009年10月地點(diǎn)上海北京深圳專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2吳軼職稱金程教育學(xué)術(shù)研發(fā)總監(jiān)，金程教育資深培訓(xùn)師，CFA（注冊(cè)金融分析師），F(xiàn)RM（金融風(fēng)險(xiǎn)管理師），CQF（特許金融工程師），SII（英國(guó)證券投資分析師），復(fù)旦大學(xué)金融工程碩士，復(fù)旦大學(xué)財(cái)務(wù)管理學(xué)士，香港理工大學(xué)金融數(shù)學(xué)學(xué)士，中歐國(guó)際工商管理學(xué)院中國(guó)金融研究中心研究員，國(guó)家外匯管理局儲(chǔ)備管理司風(fēng)險(xiǎn)管理處研究員，新加坡證券交易協(xié)會(huì)會(huì)員。授課目前為止，共講授CFALEVELI40次，CFALEVELII20次，CFALEVEL5次，F(xiàn)RM交通銀行內(nèi)部培訓(xùn)班2次，公開班5次，CFRM交通銀行內(nèi)部培訓(xùn)班2次，復(fù)旦MBA宏觀經(jīng)濟(jì)學(xué)二次，復(fù)旦IMBA國(guó)際財(cái)務(wù)管理二次，復(fù)旦博士生高等金融計(jì)量2次，復(fù)旦碩士生金融時(shí)間序列分析2次和金融風(fēng)險(xiǎn)管理2次。倍受贊譽(yù)。著作參與編寫金融計(jì)量經(jīng)濟(jì)學(xué)教程；ISTP收入英文論文（獨(dú)立作者）兩篇；數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究?jī)善撐模恢袊?guó)民營(yíng)經(jīng)濟(jì)創(chuàng)新國(guó)際論壇出版英文會(huì)議論文一篇；第二屆全國(guó)高等計(jì)量經(jīng)濟(jì)學(xué)年會(huì)出版會(huì)議論文一篇；高盛亞洲內(nèi)部產(chǎn)品研發(fā)報(bào)告一份；花旗銀行內(nèi)部風(fēng)險(xiǎn)管理研究報(bào)告四篇；2007年全國(guó)博士生論壇管理學(xué)分論壇論文一等獎(jiǎng)?？蛻魢?guó)家外匯管理局，高盛集團(tuán)（亞洲）有限公司，北京高華證券有限公司，花旗銀行（中國(guó)）有限公司，萊曼兄弟（香港），德意志銀行上海分行，交通銀行總行。聯(lián)系電話8613917952237EMAILWUYI4020YAHOOCOMCN專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUMEASURINGCREDITRISK2006FRM73THEBIDASKSPREADISADETERMINANTOFLIQUIDITYRISKREFLECTINGTHECOSTOFTHESUPPLYOFIMMEDIACYINAMARKETWHICHOFTHEFOLLOWINGARENOTVARIABLECOSTTODEALERSOFSUPPLYINGIMMEDIACYVARIABLECOSTSMEANTHATTHECOSTTODEALERSRISESASTHENUMBEROFTRANSACTIONSORTHEDEMANDFORIMMEDIACYRISESAPROCESSINGORDERFLOWCOSTSBCREDITSURVEILLANCECOSTSFORCOUNTERPARTYCREDITWORTHINESSCINVENTORYCARRYINGCOSTSDHEDGINGCOSTSANSWERB信用監(jiān)督成本是必須支付的固定成本。其他項(xiàng)都是可變的，隨著總量的變化而變化。3專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM95WHATWILLBETHELEASTEFFECTIVESTRESSTESTFORCREDITRISKACHANGINGDEFAULTCORRELATIONSBETWEENOBLIGORSBCHANGINGMARKETRATES,SUCHASINTERESTRATESANDFOREIGNEXCHANGERATESCCHANGINGLIQUIDITYFACTORS,SUCHASAVERAGETRADINGVOLUMESANDBIDOFFERSPREADSDCHANGINGCREDITSPREADSANDVOLATILITYANSWERB4專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUPROBABILITYOFDEFAULTPD2007FRM60THESPREADONAONEYEARBBBRATEDBONDRELATIVETOTHERISKFREETREASURYOFSIMILARMATURITYIS2ITISESTIMATEDTHATTHECONTRIBUTIONTOTHISSPREADBYALLNONCREDITFACTORSEG,LIQUIDITYRISK,TAXESIS08ASSUMINGTHELOSSGIVENDEFAULTRATEFORTHEUNDERLYINGCREDITIS60,WHATIS,APPROXIMATELY,THEIMPLIEDDEFAULTPROBABILITYFORTHISBONDA333B500C300D200ANSWERB5專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM41CONSIDERAPORTFOLIOOFSIXEQUALLYWEIGHTEDBONDSEACHBONDHASADEFAULTPROBABILITYOF4PERANNUM,ANDTHEDEFAULTSAREINDEPENDENTOFEACHOTHERWHATISTHEPROBABILITYTHATTHISPORTFOLIOWILLSEEITSFIRSTDEFAULTBYTHEENDOFTHESECONDYEARASSUMETHESAMEDEFAULTPROBABILITIESFORFIRSTANDSECONDYEARSFORTHESURVIVINGBONDSA43B39C78D24ANSWERD6專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUEXPOSUREATDEFAULTEAD2007FRM52BETABANKOWNSAPORTFOLIOOF10AARATEDBONDSFROM10DIFFERENTISSUERSWITHATOTALVALUEOFUSD200MILLIONTHEONEYEARPROBABILITYOFDEFAULTFOREACHISSUERIS5,ANDTHERECOVERYRATEFOREACHISSUEEQUALS40THEONEYEAREXPECTEDLOSSOFTHEPORTFOLIOISAUSD50MILLIONBUSD80MILLIONCUSD60MILLIONDUSD40MILLIONANSWERC7專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2007FRM66SUPPOSETHERATEONCOMPANYASONEYEARZEROCOUPONBONDIS100ANDTHEONEYEARTBILLRATEIS80ASSUMETHETBILLISRISKLESSANDTHEPROBABILITYOFDEFAULTOFCOMPANYASBONDIS10WHATISTHELOSSGIVENDEFAULTOFCOMPANYABONDA182B818C200D800ANSWERA8專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM90UNDERTHECOMPREHENSIVEAPPROACHFORTHEFOUNDATIONINTERNALRATINGSBASEDAPPROACHUNDERBASE2,WHICHOFTHEFOLLOWINGMETHODSISUSEDFORCALCULATINGTHEEFFECTIVELOSSGIVENDEFAULTLGDWHERELGDISTHEEFFECTIVELOSSGIVENDEFAULTCONSIDERINGRISKMITIGATIONMEASURESLGDISTHATOFTHESENIORUNSECUREDEXPOSUREBEFORERECOGNITIONOFCOLLATERAL45EISTHECURRENTVALUEOFTHEEXPOSUREIECASHLENTORSECURITIESLENTORPOSTEDEISTHEEXPOSUREVALUEAFTERRISKMITIGATIONALGDLGDE/EBLGDLGDEECLGDLGDEEDLGDLGDEEANSWERA9專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM122CONSIDERTWOPORTFOLIOSONEWITHUSD100MILLIONCREDITEXPOSURETOASINGLEBRATEDCOUNTERPARTYTHESECONDWITHUSD100MILLIONINCREDITEXPOSURESPLITEVENLYBETWEEN50BRATEDCOUNTERPARTIESWHICHOFTHEFOLLOWINGISCORRECTATHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIOBTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISEQUALTOTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIOCTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOEQUALTOTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISEQUALTOTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIODTHEEXPECTEDLOSSOFTHEFIRSTPORTFOLIOEQUALTOTHEEXPECTEDLOSSOFTHESECONDPORTFOLIOANDTHEUNEXPECTEDLOSSOFTHEFIRSTPORTFOLIOISGREATERTHANTHEUNEXPECTEDLOSSOFTHESECONDPORTFOLIO10專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUANSWERD如果信用產(chǎn)品的相關(guān)性下降，則信用風(fēng)險(xiǎn)下降。專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM139SUPPOSEBANKASELLSEXPOSUREINAMORTGAGEPORTFOLIOTOBANKBINORDERTODETERMINETHECREDITRISKOFSUCHATRANSACTION,ALLOFTHEFOLLOWINGMUSTBETAKENINTOACCOUNTEXCEPTAPROBABILITYOFDEFAULTOFTHEMORTGAGEPORTFOLIOBPROBABILITYOFDEFAULTOFBANKBCCORRELATIONBETWEENTHEDEFAULTOFBANKBANDTHEMORTGAGEPORTFOLIODCORRELATIONBETWEENBANKAANDBANKBANSWERD12專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM114YOUHAVEACREDITEXPOSURETOBANKTHREEWHICHOFTHEFOLLOWINGACTIONSWILLNOTREDUCEHISEXPOSUREASHORTINGTHEBONDSOFBANKTHREEBBUYINGPUTSONTHEEQUITYOFBANKTHREECENTERINGACREDITDEFAULTSWAPWITHBANKTHREEDOBTAININGCOLLATERALFROMBANKTHREEANSWERC13專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUISDA2006FRM102WHICHOFTHEFOLLOWINGISNOTCONSIDEREDANEVENTOFDEFAULTONTHEREFERENCEASSETUNDERLYINGACREDITDEFAULTSWAP,WITHTHE2003ISDADOCUMENTATIONABANKRUPTCYBRESTRUCTURINGCRATINGAGENCYDOWNGRADEDOBLIGATIONACCELERATIONANSWERCRATINGDOWNGRADE不是信用風(fēng)險(xiǎn)。14專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDURECOVERYRATE2007FRM49THEMANAGEMENTOFABANKWANTSTOLIMITTHECREDITLOSSTOASPECIFICSECTORWITHIN5CONCENTRATIONLIMITISTHEMAXIMUMLOSSASAPERCENTAGEOFCAPITALDIVIDEDBYTHEINVERSEOFTHELOANLOSSRATEWITHANESTIMATEDRECOVERYRATEOF60,WHATSHOULDTHECONCENTRATIONLIMITTOTHATSECTORBEASAPERCENTAGEOFCAPITALA5B125C833D3ANSWERC15583360專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM116WHICHOFTHEFOLLOWINGISNOTACOMMONLYUSEDMETHODFORGENERATINGARECOVERYRATEFUNCTIONANONPARAMETRICKERNELESTIMATIONBCUBICSPLINEESTIMATIONCASSUMETHERECOVERYRATEFOLLOWSABETADISTRIBUTIONDESTIMATECONDITIONALDENSITIESWITHGENERALIZEDMETHODOFMOMENTSANSWERBCUBICSPLINE估計(jì)是畫出YIELDCURVE使用的方法。16專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUCUMULATIVEANDMARGINALDEFAULTRATES2007FRM51MRROSENQVIST,ASSETMANAGERATBCDBANK,HOLDSAPORTFOLIOOFSEK200MILLIONTHEPORTFOLIOCONSISTSOFBBBRATEDBONDSASSUMETHATTHEONEYEARPROBABILITYOFDEFAULTIS4,THERECOVERYRATEIS60,ANDDEFAULTAREUNCORRELATEDOVERYEARSWHATISTHETWOYEARCUMULATIVEEXPECTEDCREDITLOSSONMRROSENQVISTSPORTFOLIOASEK640MILLIONBSEK635MILLIONCSEK960MILLIONDSEK948MILLIONANSWERB17專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM15ASSUMETHEMARGINALMONTHLYDEFAULTRATESCONDITIONALONNOPREVIOUSDEFAULTFORAFIRMARE2EACHMONTHDURINGTHEFIRSTYEARAND3EACHMONTHDURINGTHESECONDYEARWHATISTHEMARGINALPROBABILITYOFDEFAULTINGOVERTHETHESECONDYEAR,CONDITIONALONNOTHAVINGDEFAULTEDTHEFIRSTYEARAINSUFFICIENTINFORMATIONTOANSWERTHEQUESTIONB306C360D474ANSWERB（12）12（13）12（12）12（1D）SURVIVALRATE18專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUCREDITRATING2006FRM103WHICHOFTHEFOLLOWINGISNOTMODELINGAPPROACHTOCREDITSCORINGAKNEARESTNEIGHBORCLASSIFIERMODELSBLOGITANDPROFITMODELSCFISHERLINEARDISCRIMINATESANALYSISDBAYESIANVECTORAUTOREGRESSIONANSWERD第四種不是信用評(píng)分的方式。19專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM111WHICHOFTHEFOLLOWINGISNOTACORRECTSTATEMENTABOUTINTERNALCREDITRATINGSATHE“ATTHEPOINTINTIME”APPROACHMAKESHEAVYUSEOFECONOMETRICMODELINGTHATRELATESCURRENTFINANCIALVARIABLESTOESTIMATEDDEFAULTRISKBTHE“THROUGHTHECYCLE”APPROACHISFORWARDLOOKINGANDATTEMPTSTOINCORPORATEFUTUREECONOMICSCENARIOSINTOCURRENTDEFAULTRISKESTIMATESC“ATTHEPOINTINTIME”CREDITSCORESVOLATILITYISMUCHHIGHERTHAN“THROUGHTHECYCLE”SCOREVOLATILITYDASOUNDINTERNALSYSTEMUSES“ATTHEPOINTINTIME”SCORINGFORSMALLTOMEDIUMSIZEDCOMPANIESANDPRIVATEFIRMSAND“THROUGHTHECYCLE”SCORINGFORLARGEFIRMSANSWERB20專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM79WITHREGARDTOEVALUATINGSOVEREIGNRISK,WHICHOFTHEFOLLOWINGSTATEMENTSISINCORRECTABANKRUPTCYLAWDOESNOTTYPICALLYPROTECTINVESTORSFROMSOVEREIGNRISKBDEBTREPUDIATIONISAPOSTPONEMENTOFALLCURRENTANDFUTUREFOREIGNDEBTOBLIGATIONSOFABORROWERCDEBTRESCHEDULINGOCCURSWHENAGROUPOFCREDITORSDECLARESAMORATORIUMONDEBTOBLIGATIONSANDSEEKSTORESCHEDULETERMSDSOVEREIGNRISKCANBEACAUSEOFDEFAULTINANONGOVERNMENTALBORROWEROFHIGHCREDITQUALITYANSWERB21專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM74MOODYSESTIMATESTHEAVERAGERECOVERYRATEFORSENIORUNSECUREDDEBTTOBENEARESTTOA20B40C60D80ANSWERATHERECOVERYRATEONLOANSISTYPICALLYHIGHERTHANTHATONBONDSHENCE,THECREDITRATING,IFITINVOLVESBOTHPROBABILITYOFDEFAULTANDRECOVERY,SHOULDBEHIGHERFORLOANSTHANFORBONDS22專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM59ASSUMINGTHE1YEARTBILLRATEOF425ANDTHERATEON1YEARZEROCOUPONCORPORATEBONDSIS775,WHICHOFTHEFOLLOWINGNUMBERSISCLOSESTTOTHEPROBABILITYTHATACORPORATELOANWILLBEREPAIDFULLYASSUMINGTHATTHECREDITSPREADISDUETOFIRMSPECIFICCREDITRISKALONEA9675B325C9621D379ANSWERA23專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUTRANSITIONMATRIX2007FRM87CONSIDERTHEFOLLOWINGONEPERIODTRANSITIONMATRIXIFACOMPANYISORIGINALLYINSTATEA,WHATISTHEPROBABILITYTHATTHECOMPANYWILLHAVEDEFAULTEDSTRICTLYBEFORETHEFOURTHTRANSITIONPERIODFROMNOWA0500B1875C1375D087524專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUANSWERCAABD0950050100048ABBD00508010004ABDD005010005SOADPROBABILITY0004800040005137525專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUTHEMERTONMODEL2005FRM101WHICHOFTHEFOLLOWINGSTATEMENTSABOUTTHETERMSTRUCTUREOFCREDITSPREADSINMERTONSMODELISCORRECTATHETERMSTRUCTUREOFCREDITSPREADSDEPENDSONTHEINITIALLEVERAGEOFTHEFIRMTHOSEWITHTHEHIGHESTLEVERAGECOULDHAVEADOWNWARDSLOPINGCREDITYIELDCURVE,WHILERELATIVELYSAFEFIRMSWOULDHAVEANUPWARDSLOPINGCURVEBTHETERMSTRUCTUREOFCREDITSPREADSDEPENDSONTHETREASURYTERMSTRUCTUREWHENTHETREASURYCURVEISSTEEP,THEEXPECTEDINCREASEINRATESMAKESTHEPRESENTVALUEOFCOUPONSSMALLERANDREDUCESTHEVALUEOFTHEDEBTINFUTUREPERIODS,MAKINGTHECREDITTERMSTRUCTUREUPWARDSLOPINGCTHETERMSTRUCTUREOFCREDITSPREADSISALWAYSUPWARDSLOPINGBECAUSEBONDHOLDERSCANNEVERRECEIVEMORETHANPARBUTMIGHTLOSEDUETODEFAULTANDTHOSEEXPECTEDLOSSESINCREASEWITHTHEBONDSMATURITYDTHETERMSTRUCTUREOFCREDITSPREADSISFLATBECAUSEMERTONSMODELASSUMESACONSTANTINTERESTRATEANSWERC26專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUKMVMODEL2007FRM111YOUDONTHAVEACCESSTOKMVSDATAYOURBOSSWANTSYOUTOESTIMATETHEPROBABILITYOFDEFAULTOFACREDITTODOSO,YOUUSETHEMERTONMODELBECAUSETHECREDITYOUARECONSIDERINGHASNOSYSTEMATICRISKINMERTONSMODEL,THEDISTANCETODEFAULTANDEXPECTEDDEFAULTFREQUENCYAREANEGATIVELYANDLINEARLYRELATEDBPOSITIVELYANDLINEARLYRELATEDCNEGATIVELYANDNONLINEARLYRELATEDDPOSITIVELYANDNONLINEARLYRELATEDANSWERC27專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM49COMPANYYHASASSETSVALUEDATUSD205MILLIONTHEVALUEOFITSSHORTTERMDEBTISUSD28MILLION,THEBOOKVALUEOFITSLONGTERMDEBTISUSD115MILLION,ANDTHEVOLATILITYOFITSASSETSISUSD58MILLIONCALCULATETHEDISTANCETODEFAULTUSINGTHEKMVAPPROACHA107B147C155D305ANSWERAKMVVK/SIGMAV20511528/58107根據(jù)HANDBOOK定義，債券的價(jià)值長(zhǎng)期債券的價(jià)值05短期債券的帳面價(jià)值，KMV2051151/228/58206在本題中，GARP協(xié)會(huì)采用了不除以2的做法。28專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM56WHICHOFTHEFOLLOWINGVARIABLESISNOTUSEDINTHEKMVMODELTOESTIMATEAFIRMSPROBABILITYOFDEFAULTATHEBOOKVALUEOFTHEFIRMSEQUITYBTHE1ITMSSTOCKPRICEVOLATILITYCTHEMARKETVALUEOFTHEFIRMSEQUITYDTHEMARKETVALUEOFTHEFIRMSDEBTANSWERA29專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM108THEKMVMODELPRODUCESAMEASURECALLEDEXPECTEDDEFAULTFREQUENCYWHICHOFTHEFOLLOWINGSTATEMENTSABOUTTHISVARIABLEISCORRECTAITDECREASESWHENTHELEVERAGEOFTHEFIRMFALLSBITINCREASESWHENTHESTOCKPRICEOFTHEFIRMHASBEENRISINGCITISTHERISKNEUTRALPROBABILITYOFDEFAULTFROMMERTONSMODELDITTELLSINVESTORSHOWTHEDEFAULTRISKOFABONDISCORRELATEDWITHTHEDEFAULTRISKOFOTHERBONDSINTHEPORTFOLIOANSWERA30專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUDISTRIBUTIONOFCREDITEXPOSURE2005FRM9INTHECREDITRISKMODEL,DEFAULTEVENTSAREASSUMEDTOFOLLOWAPOISSONDISTRIBUTIONASSUMETHEAVERAGENUMBEROFDEFAULTSINAPORTFOLIOISEQUALTOFIVEWHATISTHEPROBABILITYTHATFOURDEFAULTSWILLOCCUROVERTHENEXTYEARA1563B1755C954DNOTENOUGHINFORMATIONTOANSWERTHEQUESTIONANSWERB31專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM53INTHECREDITRISKMODEL,THELOSSDISTRIBUTIONFORABROADLYDIVERSIFIEDPORTFOLIOISDERIVEDBYASEPARATINGLOSSESINTOBANDS,WITHTHELEVELOFEXPOSUREINEACHBANDREPRESENTEDBYARANGEOFAMOUNTSBSEPARATINGLOSSESINTOBANDS,WITHTHELEVELOFEXPOSUREINEACHBANDREPRESENTEDBYASINGLENUMBERCSEPARATINGLOSSESINTOBANDSBASEDONTHEPROBABILITYOFDEFAULTFOREACHOBLIGOROVERONEYEARDSEPARATINGLOSSESINTOBANDSBASEDONTHEDEFAULTRATEVOLATILITYFOREACHOBLIGORANSWERA32專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUEXPECTEDCREDITEXPOSURE2007FRM79ASPARTOFACURRENCYHEDGINGSTRATEGY,AUSPORTFOLIOMANAGERENTEREDAONEYEARFORWARDCONTRACTWITHABANKTODELIVEREUR5,000,000FORUSDATTHEENDOFTHEYEARATTHEBEGINNINGOFTHEYEAR,THEONEYEARFORWARDRATEWAS09216USD/EURSIXMONTHSINTOTHECONTRACT,THESPOTRATEIS09201USD/EUR,THEUSDINTERESTRATEIS65,ANDTHEEURINTERESTRATEIS625IFTHECURRENTSPOTRATE09201USD/EURWERETOCONTINUEFORTHENEXTSIXMONTHS,WHATISTHECREDITRISKTHATTHEPORTFOLIOMANAGERWOULDBEARATMATURITYAUSD7,264BUSD7,042CUSD7,500DUSD7,273ANSWERC信用暴露風(fēng)險(xiǎn)09216092015000000750033專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM20WHICHOFTHEFOLLOWINGREDUCESACREDITEXPOSUREBYSHORTENINGTHEEFFECTIVEMATURITYOFAPOSITIONILIQUIDITYPUTIICREDITTRIGGERABOTHIANDIIBIONLYCIIONLYDNEITHERINORIIANSWERAI和II都是要求提前歸還現(xiàn)金，則MATURITY（到期時(shí)間）減少。34專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUCREDITEXPOSUREMODIFIERS2005FRM14SYLVIA,APORTFOLIOMANAGER,ESTABLISHEDAYANKEEBONDPORTFOLIOHOWEVER,SHEWANTSTOHEDGETHECREDITANDINTERESTRATERISKOFHERPORTFOLIOWHICHOFTHEFOLLOWINGDERIVATIVESWILLBESTFITSYLVIASNEEDAATOTALRETURNSWAPBACREDITDEFAULTSWAPCACREDITSPREADOPTIONDACURRENCYSWAPANSWERA35專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM91YOUHAVEAUSD50MILLIONSHORTATTHEMONEYEUR/USDPUTOPTIONPOSITIONANDASHORTATTHEMONEYUSD50MILLIONFXFORWARDEUR/USDPOSITIONWITHABCBANKWHICHPOSITIONADDSMORECREDITRISKATHEFXOPTIONBTHEFXFORWARDCTHEYBOTHHAVEAPPROXIMATELYTHESAMECREDITRISKASTHENOTIONALAMOUNTANDTHECOUNTERPARTYARETHESAMEDTHEREISNOTENOUGHINFORMATIONTOCOMETOACONCLUSIONANSWERB36專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2005FRM96WHICHOFTHEFOLLOWINGSTATEMENTSCORRECTLYDESCRIBESTHEIMPACTOFSIGNINGANETTINGAGREEMENTWITHACOUNTERPARTYAITWILLINCREASEORHAVENOEFFECTONTHETOTALCREDITEXPOSUREBITWILLDECREASEORHAVENOEFFECTONTHETOTALCREDITEXPOSURECITWILLINCREASEEXPOSUREIFEXPOSUREISNETLONGANDDECREASEEXPOSUREIFITISNETSHORTDITSIMPACTISIMPOSSIBLETODETERMINEBASEDONTHEAVAILABLEINFORMATIONANSWERB37專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUHEDGINGPRICINGTHECREDITDERIVATIVES2007FRM45BANKBHASAEUR100MILLIONLOANPORTFOLIOANDHASSETASIDEARESERVETOCOVERTHEFIRSTEUR20MILLIONINDEFAULTRELATEDLOSSESIFTHEBANKWANTSTOACQUIREPROTECTIONFORTHEREMAININGEUR80MILLIONINRISKEXPOSURE,WHICHOFTHEFOLLOWINGSOLUTIONSWOULDWORKANDWOULDEXPOSETHEBANKTOTHELEASTAMOUNTOFCOUNTERPARTYRISKAISSUEACREDITLINKEDNOTEINWHICHINTERESTANDPRINCIPALMAYBEWITHHELDFROMINVESTORSTOCOVERUPTOEUR80MILLIONINLOSSESABOVETHEFIRSTEUR20MILLIONONTHELOANPORTFOLIOBBUYCREDITPROTECTIONINASENIORSUBORDINATEDCREDITDEFAULTSWAPTHATCOVERSEUR80MILLIONINLOSSESABOVETHEFIRSTEUR20MILLIONCBUYCREDITINSURANCEFORLOSSESUPTOEUR80MILLIONINEXCESSOFEUR20MILLIONONTHELOANPORTFOLIODALLTHREEOFTHEABOVECHOICESWORKANDEXPOSETHEBANKTOTHESAMEAMOUNTOFCOUNTERPARTYRISKANSWERA38專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2007FRM55SUPPOSETHERETURNONUSTREASURIESIS3ANDARISKYBONDISCURRENCYYIELDING15ATRADERYOUSUPERVISECLAIMSTHATHEWOULDBEABLETOMAKEANARBITRAGEEARNING5USINGUSTREASURIES,THERISKYBOND,ANDTHECREDITDEFAULTSWAPWHICHOFTHEFOLLOWINGCOULDBETHETRADERSSTRATEGY,ANDWHATISTHECREDITDEFAULTSWAPPREMIUMASSUMETHEREARENOTRANSACTIONCOSTSAGOLONGTHETREASURY,SHORTTHERISKYBOND,ANDSELLTHECREDITDEFAULTSWAPWITHPREMIUMOF7BGOLONGTHETREASURY,SHORTTHERISKYBOND,ANDBUYTHECREDITDEFAULTSWAPWITHPREMIUMOF6CSHORTTHETREASURY,INVESTINTHERISKYBOND,ANDBUYTHECREDITDEFAULTSWAPWITHPREMIUMOF7DSHORTTHETREASURY,INVESTINTHERISKYBOND,ANDSELLTHECREDITDEFAULTSWAPWITHPREMIUMOF639專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUANSWERC首先，概念上，買入風(fēng)險(xiǎn)債券買入無(wú)風(fēng)險(xiǎn)債券賣出CDS，賣出風(fēng)險(xiǎn)債券賣出無(wú)風(fēng)險(xiǎn)債券買入CDS，則B、D排除，剩下A、C；再判斷三者之間的收益情況，（C）中無(wú)風(fēng)險(xiǎn)債券空頭則收益率為3，風(fēng)險(xiǎn)債券多頭收益率為15，買入CDS收益為7，則總收益為5，符合題意。40專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2007FRM110BANKAMAKESAUSD10MILLIONFIVEYEARLOANANDWANTSTOOFFSETTHECREDITEXPOSURETOTHEOBLIGORAFIVEYEARCREDITDEFAULTSWAPCDSWITHTHELOANASTHEREFERENCEASSETTRADESONTHEMARKETATASWAPPREMIUMOF50BASISPOINTSPAIDQUARTERLYINORDERTOHEDGEITSCREDITEXPOSURE,BANKAASELLSTHEFIVEYEARCDSANDRECEIVESAQUARTERLYPAYMENTOFUSD50,000BBUYSTHEFIVEYEARCDSANDMAKESAQUARTERLYPAYMENTOFUSD12,500CBUYSTHEFIVEYEARCDSANDRECEIVESAQUARTERLYPAYMENTOFUSD12,500DSELLSTHEFIVEYEARCDSANDMAKESAQUARTERLYPAYMENTOFUSD50,000ANSWERBINORDERTOHEDGE,BANKANEEDSTOBUYCDS,THENUSED12500PAIDAQUARTER41專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2007FRM74ATRADERWHOSERISKYOUAREMONITORINGTELLSYOUTHATHEWANTSTOBENEFITFROMACREDITSPREADWIDENINGDUETOARECESSIONWHICHOFTHEFOLLOWINGWOULDBEGOODTRADESFORHISSTRATEGYASHORTRISKYBONDSANDGOLONGRISKFREEBONDSATTHEBEGINNINGOFTHERECESSIONBGOLONGRISKYBONDSANDSHORTRISKFREEBONDSATTHEBEGINNINGOFTHERECESSIONCSELLCREDITDEFAULTSWAPSONBONDSWITHLOWCREDITQUALITYANDGOLONGLOWCREDITQUALITYBONDSDSELLCREDITDEFAULTSWAPSONBONDSWITHALOWCREDITQUALITYANDBUYCREDITDEFAULTSWAPSONBONDSWITHAHIGHERCREDITQUALITYATTHEBEGINNINGOFTHERECESSIONANSWERA在RECESSION時(shí)，價(jià)差變大，RISKYBONDS的價(jià)格下降，RISKFREEBONDS的價(jià)格上升42專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM39WHATARETHEBENEFITSOFNOVATIONABOTHPARTIESAREALLOWEDTOWALKAWAYFROMTHECONTRACTINTHEEVENTOFDEFAULTBINABILATERALCONTRACT,ITISSPECIFIEDTHATONDEFAULT,THENONDEFAULTINGPARTYNETSGAINSANDLOSSESWITHTHEDEFAULTINGCOUNTERPARTYTOASINGLEPAYMENTFORALLCOVEREDTRANSACTIONSCFINANCIALMARKETCONTRACTSCANBETERMINATEDUPONANEVENTOFDEFAULTPRIORTOTHEBANKRUPTCYPROCESSDOBLIGATIONSAREAMALGAMATEDWITHOTHERSANSWERDNOVATION中所有的負(fù)債可以累積在一起計(jì)算凈額43專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDU2006FRM42WALLACE,ANEMERGINGMARKETBONDTRADER,ISHOLDINGA5YEARUSDMALAYSIANCORPORATEBONDINHISBOOKHEISCONCERNEDABOUTTHERISKOFHISPOSITIONWHICHOFTHEFOLLOWINGSTATEMENTSCONCERNINGTHERISKOFHISPOSITIONISINCORRECTATHECORPORATEBONDCOULDBEUPGRADEDSOTHATITWOULDHAVEAHIGHERRATINGTHANMALAYSIANSOVEREIGNDEBT,BUTITISHIGHLYUNLIKELYBBUYINGPROTECTIONWITHACDSWOULDHEDGETHECORPORATEBONDPOSITIONAGAINSTSOMERISKSBUTITWOULDDOAPOORJOBOFHEDGINGTHEPOSITIONIFTHEREISADROPINLIQUIDITYFOREMERGINGMARKETSOVEREIGNBONDSCASHORTPOSITIONINRINGGITSSOVEREIGNBONDFROMMALAYSIAWOULDALWAYSHELPHEDGETHECORPORATEBONDAGAINSTCURRENCYRISKIFTHECORPORATIONISANEXPORTERDASHORTPOSITIONINA5YEARUSTREASURYANDBUYINGPROTECTIONONTHECORPORATEBONDUSINGACDSWOULDBEABETTERHEDGETHANJUSTBUYINGPROTECTIONONTHECORPORATEBOND44專業(yè)來(lái)自百分百的投入COPYRIGHT2009BYGFEDUANSWERC一個(gè)債券的收益無(wú)風(fēng)險(xiǎn)收益率國(guó)家風(fēng)險(xiǎn)信用風(fēng)險(xiǎn)無(wú)風(fēng)險(xiǎn)收益率國(guó)家風(fēng)險(xiǎn)信用風(fēng)險(xiǎn)注無(wú)外匯風(fēng)險(xiǎn)因?yàn)槭敲涝獦?biāo)明面值的（A）選項(xiàng)正確，企業(yè)債的信用級(jí)別很可能比國(guó)家信用級(jí)別高，但是，我們優(yōu)先考慮的是國(guó)家信