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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?

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

1 个答案
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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