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上小学 · 2023年10月04日

请问此题为什么这么解呢?乘以1,2 是什么意思呢?

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

此题看不了明白,看了讲义还不明白,另外,啥是ADD ON FACTOR?此题目中给出的条件都怎么用呢?谢谢

2 个答案

品职答疑小助手雍 · 2023年10月13日

exposure只是基础的那个数值,

add on factor是要额外加的数字,所以还是需要计算的。


我是建议把本身的value(或者说exposure),以及add on factor带来的增加分开来处理的,这样会好理解一些。

品职答疑小助手雍 · 2023年10月07日

同学你好,按照基础班讲义上面这个表,interest rate swap在第二列,0.5年的100million是0*100, 1.5年的100million是0.5%*100, 2.5年的100million是0.5%*100。

foreign exchange swap在第三列,0.5年的100million是1%*100,1.5年的100million是5%*100, 2.5年的100million是5%*100。

最后加起来就是0%× 100 + 0.5%×200 + 1%× 100 + 5%×200,不要忘了上面的max(Value, 0),大于0的value就加上,小于0的value要忽略。

只看讲义当然不一定能明白,但是听了课会发现何老师讲得已经很清楚了。

上小学 · 2023年10月09日

谢谢您的解释,但是从本题上看,300百万的IRS市场价值已经提供了,30百万,已经不需要再计算了。300百万的外汇掉期市场价值为负数,不需要加上。为什么还需要再计算呢?市场价值已经给出来了呀,就是EXPOSURE。300万的市场价值是负数,因此他的EXPOSURE更不需要加上了,没有EXPOSURE。 我个人判断根本不需要再计算EXPOSURE了,还烦请再看看,谢谢!

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