开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

C_M_ · 2024年10月21日

损失&收益

NO.PZ2024042601000076

问题如下:

Sacks Bank has many open derivative positions with Lake Investments. A description and current market values are displayed in the table below:

In the event that Lake defaults, what would be the loss to Sacks if netting is used?

选项:

A.

USD 5 million

B.

USD 10 million

C.

USD 25 million

D.

USD 35 million

解释:

Netting means that the payments between the two counterparties are netted out, so that only a net payment has to be made. With netting, Sacks is not required to make the payout of 25 million. Hence the loss will be reduced to: 35 million -25 million = 10 million

怎么理解哪个值是损失哪个值是收益 表格的-25不应该是损失的意思吗

1 个答案

pzqa27 · 2024年10月22日

嗨,努力学习的PZer你好:


正的就是赚钱,负的就是亏钱啊,

比如long swaptions 是+10m,也就是Sack 应该从Lake 那收10m,

long CDSshi-25m,意思是Sack 要支付给Lake 25m

以此类推,现在的情况是Lake 违约了,从Lake那里收到的10m和25m也收不到了,因此损失35m,同时本来要支付给Lake的25m是不用支付了,所以损失下降到10m

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!