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C_M_ · 2024年10月21日

这道题怎么理解

NO.PZ2024042601000087

问题如下:

Risk managers in a medium sized bank are trying to implement new tools to measure and manage counterparty credit risk. Most exposure to the bank’s counterparties is through derivative contracts, but only some of the derivative counterparties have posted collateral. The risk managers are debating how the margined and non-margined counterparty exposure should be treated when calculating the exposure at default. Which of the following statement is correct?

选项:

A.

The forecasting period should be as long as the life of the contract for both margined counterparties as well as non-margined counterparties

B.

The forecasting period should be no smaller than half the life of the contract for non-margined counterparties and can be chosen at any length for margined counterparties given the presence of collateral

C.

An identical forecasting period which is shorter than the life of the contract should be chosen for margined and non-margined counterparties in order to be able to aggregate the risk exposures

D.

A short forecasting period can be used for margined counterparties, while for non-margined counterparties it should correspond to the contract lifetime

这道题应该怎么理解?

1 个答案

pzqa27 · 2024年10月22日

嗨,从没放弃的小努力你好:


这个题在经典题里何老师有详细的讲解,我就不再复述一遍了,同学可以参考下这个视频的这个位置,如果听完后仍有疑问,我们可以进一步讨论。

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加油吧,让我们一起遇见更好的自己!

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