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scarlett · 2018年10月02日

问一道题:NO.PZ2016082405000063

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


请问老师为什么不是b,课程上说swap 有可能是interest rate, 这样就没有ben j本金交换,然而b是you有本金交换的,所以b 应该 exposure比较大?   

1 个答案

orange品职答疑助手 · 2018年10月02日

同学你好,你说的没错,foreign exchange forward的future uncertainty比interest rate swap的大, 但interest rate swap的期间风险比foreign exchange forward的大。将future uncertainty和期间风险综合,就是combination of profiles,它的例子之一就是货币互换,它同时具有以上两种风险,而这里题目应该还是把货币互换算成swap类里的,所以选了D。本题掌握知识点也就是下面这张图就好。


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