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上小学 · 2023年10月04日

请问此题在说什么呢？这些个数字到哪里去找？讲义中没有提啊

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000048

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 under the original exposure method.

选项：

A.

$18.5 million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Under the original exposure method, it would be:

CEA=0.5% x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million

请问该类题目如何具体做呢，这些个系数是从哪里来的，ADD ON factor？该类题目如何计算VALUE 呢


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已采纳答案

DD仔_品职助教 · 2023年10月06日

嗨，努力学习的PZer你好：


同学你好，

本题直接带公式就行，这些factor需要记住的，具体讲义出处请看下图：

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加油吧，让我们一起遇见更好的自己！

上小学 · 2023年10月09日

谢谢，请问这些个数字必须背过是吗？考试会给出吗？

DD仔_品职助教 · 2023年10月09日

嗨，爱思考的PZer你好：


考试不一定，但是能背过就背过

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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