NO.PZ2020033002000053
问题如下：
Ace Bank has just entered into a plain-vanilla interest-rate swap as a fixed rate payer and City Bank as the fixed rate receiver. The forward spot curve is now upward-sloping. If LIBOR starts sliding down and the forward spot curve flattens, the credit risk from the swap will:
选项：
A.
Increase only for Ace Bank
B.
Increase only for City Bank
C.
Increase for both Ace Bank and City Bank
D.
Remain the same for both Ace Bank and City Bank
解释：
ANSWER: B
考点：Credit exposure
解析：
Libor 降低，则付浮动利率方赚钱，即收固定利率方 City Bank 赚钱，即 City Bank 面临更大的信用风险敞口
根据讲义公示，A银行Exposure等于浮动利率的价格减去固定利率的价格，随着浮动利率的下降，浮动利率债券价格上升，为何Exposure会下降呢？
