大同學
2025-02-08 11:17老師，原版書課后有道CDS的題，Which of the following statements best describes how a single-name CDS contract is priced at inception? A. If the reference entity’s credit spread trades below the standard coupon rate, the CDS contract will be priced at a premium above par because the protection buyer pays a “below market” periodic coupon. B. If the reference entity’s credit spread trades above the standard coupon rate, the CDS contract will be priced at a discount to par because the protection seller effectively receives a “below market” periodic premium. C. Similar to fixed-rate bonds, CDS contracts are initially priced at par with a fixed coupon and a price that changes over time as the reference entity’s credit spreads change. 這道題為什么選B？ B是說spread 大于coupon,B選項里“priced at a discount ”這明顯錯了呀，應該是premium吧？此外，AB選項都有“below market”這具體指什么？
所屬：CFA Level III > Portfolio Management Pathway 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Simon助教
2025-02-10 14:39
該回答已被題主采納
同學，上午好。
A. 如果credit spread＜coupon rate，那么price at premium，前半句正確，但是，后半句錯，protection buyer按照coupon rate給保費，那么保費多給了，所以是above
B. 如果credit spread＞coupon rate，那么price at discount，前半句正確。后半句，seller保費少收了(buyer保費給少了)，所以是below，也正確。
C. CDS price=1+（fixed coupon-CDS spread）×SD，只有當fixed coupon=CDS spread時，才會priced at par，C選項intially priced at par，意思時初始就是平價，錯，這是要有條件的。后半句正確，CDS spread變化，價格就變化。
0
0
1
1
