[2008]Topic 47: Measuring and Marking Counterparty Risk 相关习题

aianjie

 

AIM 1: Define terms related to counterparty risk.

1、When two counterparties have obligations to each other, the process that potentially reduces the credit risk of one counterparty to zero and lowers the credit risk of the other is known as:

A) collateralizing. 

B) special purposing. 

C) netting. 

D) marking to market. 

shanshan_146

辛苦！

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谢谢楼主

aianjie

 

The correct answer is C

The risk-neutral mean loss rate is the rate where investors act as if they are risk neutral because the rate includes an artificially high mean loss rate that reflects a risk premia for accepting the higher default risk.

aianjie

 

3、An artificially high mean loss rate that reflects a risk premia for accepting the higher default risk is called the:

A) mean loss rate. 

B) counterparty loss risk premia.

C) potential future exposure.

D) risk-neutral mean loss rate. 

aianjie

 

The correct answer is D

Risk-neutral mean loss rate is the rate where investors act as if they are risk neutral because the rate includes an artificially high mean loss rate that reflects a risk premia for accepting the higher default risk.

aianjie

 

2、The specification of the simulation requires the selection of a stochastic process. The stochastic process is different depending on the underlying asset being evaluated. Which of the following are usually modeled with a lognormal distribution?

      I. Frequently traded equity securities.

     II. Commodities with low liquidity.

    III. Interest rates that are considered to be high.

    IV. Currencies of emerging market countries.

A) II and III.

B) I and III.

C) I, II, and III.

D) I, II, III, and IV.

aianjie

 

The correct answer is B

Statements I and III are correct. Market instruments that are usually modeled using a lognormal distribution include the following: high interest rates, major currencies, commodities with a high degree of liquidity and equities with a high degree of liquidity. Equities and commodities that lack liquidity are modeled with a jump diffusion process, as well as currencies of emerging market countries. Low interest rates are sometimes assumed to follow a normal distribution.

aianjie

 

AIM 5: Define a risk-neutral mean loss rate.

1、Which of the following are good proxies for the risk-neutral mean loss rate?

  I.  Counterparty’s credit spread.

 II.  Default swap rate paid by the protection buyer in a credit default swap.

III.  Difference between a bond’s yield and a treasury security with the same maturity.

A) II and III only.

B) I only. 

C) I and II only.

D) I, II, and III. 

aianjie

 

The correct answer is C

Statements I and II are correct. The credit spread (the difference between the risky bond rate and the riskfree rate) is a proxy for the annualized risk-neutral loss rate. However, the difference between the bond yield and the treasury yield is incorrect because of the state tax exemption awarded to treasuries and the high degree of liquidity for treasuries. Another proxy for the risk-neutral mean loss rate is the default swap rate paid by the protection buyer in a credit default swap agreement.