NO.PZ2022123002000066
问题如下：
Mamani informs AI's management that, as an alternative, it could
enter into an interest rate swap to effectively convert its floating-rate loan
to a fixed-rate loan. Mamani states, "You would take a position in a
two-year swap with semiannual payments and a notional principal equal to your
loan balance. You would pay a fixed rate equal to current two-year Libor and
receive 180-day Libor." Mamani adds, "Entering into the swap would reduce
your firm's market value risk and cash flow risk."
Is
Mamani's explanation of the impact of the interest rate swap on AI's risk most
likely correct?
选项：
A.No,
it is incorrect regarding cash flow risk
Yes
No,
it is incorrect regarding market value risk
解释：
Correct Answer: C
Although
converting the loan from a floating rate to a fixed rate using the swap reduces
AI's cash flow risk (because the firm's loan payments become known), it
increases the firm's market value risk because the value of the firm will be negatively
affected if market interest rates decrease.
pay fixed rate，不是降低duration， 减少market value risk吗
