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Yvonne0719 · 2024年09月17日

请问B选项哪里不对呢?

NO.PZ2023040401000019

问题如下:

An interest rate swap is a derivative contract in which:

选项:

A.

two parties agree to exchange a series of cash flows.

B.

the credit seller provides protection to the credit buyer.

C.

the buyer has the right to purchase the underlying from the seller.

解释:

A is correct. An interest rate swap is defined as a derivative in which two parties agree to exchange a series of cash flows: One set of cash flows is variable, and the other set can be variable or fixed.

B is incorrect because a credit derivative is a derivative contract in which the credit protection seller provides protection to the credit protection buyer. C is incorrect because a call option gives the buyer the right to purchase the underlying from the seller.

请问B选项哪里不对呢?

1 个答案

李坏_品职助教 · 2024年09月18日

嗨,从没放弃的小努力你好:


B选项说的是:卖方出售一种信用保险,卖给买方。这个属于CDS(credit default swap)了。就是先卖出一种信用保险,如果第三方出现债务违约,那么保险的卖方要立刻赔付给保险的买方一笔钱。


而题目开头说的interest rate swap,这是利率互换,不是B选项的CDS。interest rate swap不存在保险的问题,就是一方支付固定利率,另一方支付浮动利率。所以不能选B。

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