You're analyzing our exposure to a hedge fund counterparty from whom we bought a deep out-of-the-money put option on the S&P 500. The market crashes 20% in a week. Walk me through what happens to our EAD and their PD simultaneously. Why is this a nightmare scenario for Risk?

你在分析我们对某大型对冲基金的交易敞口。我们从他们那里买了一份标普500的深度价外看跌期权（Put Option）。下周市场暴跌了20%。请告诉我，我们的EAD和对手方的PD同时发生了什么？为什么风险部最怕这种组合？