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S.com · 2022年10月12日

请问他们的价值30m答案里是算三个的总价值，为什么不是30*3？

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000086

问题如下：

The derivatives book of an international bank contains $300 million of notional value of interest rate swaps with $100 million each having remaining maturity of 0.5, 1.5 and 2.5 years. Their market value is $30 million. The book also has $300 million of foreign exchange swaps with a similar maturity profile and a market value of -$10 million. All counterparties are private corporations, so the risk weight is 100 percent.Calculate the credit equivalent amount by Current Exposure Method.

选项：

A.

18.5 million

B.

42 million

C.

28 million

D.

35 million

解释：

B is correct.

考点：Risk Charge for derivatives

Under the current exposure method, the credit equivalent amount would be:

CEA=30+ 0%× 100 + 0.5%×200 + 1%× 100 + 5%×200 = $42 million

请问他们的价值30m答案里是算三个的总价值，为什么不是30？因为它的表述是一话里的，谢谢

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已采纳答案

李坏_品职助教 · 2022年10月12日

嗨，从没放弃的小努力你好：


Their market value is $30 million，这句话的意思是三个利率互换合约的市场价值是30million。


如果写的是Their market value is $30 million each或者Their market value is $30 million per contract，那么就要30 * 3 million了。

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努力的时光都是限量版，加油！

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