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410140980 · 2023年07月25日

the risk weight is 100 percent.

  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

老师basel1中计算RWA在表外资产是衍生品的时候计算exposure时候是不是不需要考虑risk weighted，算RWA才需要考虑risk weighted吧，计算这个exposure就是为了去类比表内资产的notional principal吧

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品职答疑小助手雍 · 2023年07月26日

同学你好，是的，current exposure不需要考虑risk weight

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