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RongLiang77 · 2022年10月06日

FRM II

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000080

问题如下：

Which of the following statements is correct?

I. The Japanese banks delivered yen (funded by yen) and achieved USD exposure by using swap, the Japanese yen experienced a significant appreciation against the USD, Japanese banks achieved considerable gain.

II. When the swap rate increases, the fixed-rate receivers experience a gain.

III. When the euro swap rate decreased, as fixed-rate receiver the counterparty risk exposure increased. The financial institutions in Italy had increased probabilities of default due to the poor economic conditions.

选项：

A.

I only.

B.II only.

C.

I and II.

D.

I and III.

解释：

D is correct.

考点：Wrong-Way Risk Vs. Right-Way Risk

解析：swap rate上升时收固定方亏钱，II错。

想问一下swap rate是不是等同于fixed rate，III选项所说的fixed rate receiver收到的固定利率不应该是降低吗？怎么是上升的？

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已采纳答案

pzqa27 · 2022年10月06日

嗨，从没放弃的小努力你好：


您可以这么想啊，比如我们进入一个swap, 我们收固定，假如是3%， 一旦现在swap rate 下降，降到比如2%， 那么我们的swap是签好的，该收3%还是3%，不会随行就市变化，但是如果说要新签一个swap的话就只能收2%了。所以我们有收益

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa27 · 2022年10月06日

嗨，从没放弃的小努力你好：


想问一下swap rate是不是等同于fixed rate

是的

III选项所说的fixed rate receiver收到的固定利率不应该是降低吗？怎么是上升的？

三选项原话是“When the euro swap rate decreased, as fixed-rate receiver the counterparty risk exposure increased”。这里注意题目说的是风险敞口，并不是收到的固定利率。当swap rate 下降的时候，fixed rate receiver是收益的，因此他的风险敞口增加

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努力的时光都是限量版，加油！

RongLiang77 · 2022年10月06日

您好，想问一下为什么swap rate下降后，fixed rate receiver是收益呢？

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