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徐威廉 · 2024年10月28日

把每一个选项都解答一下

NO.PZ2024042601000113

问题如下:

A junior risk analyst at a consulting firm is reviewing the operational arrangements of bilateral netting and central clearing of derivative trades. The analyst examines the following bilateral trades of three firms:

Firm 1’s exposure to Firm 2: AUD 90 million

Firm 2’s exposure to Firm 1: AUD 60 million

Firm 1’s exposure to Firm 3: AUD 12 million

Firm 3’s exposure to Firm 1: AUD 70 million

Firm 2’s exposure to Firm 3: AUD 57 million

Firm 3’s exposure to Firm 2: AUD 0 million

Which of the following statements is correct?

选项:

A.Under bilateral netting, Firm 1’s net exposure is AUD 28 million. B.

Under bilateral netting, Firm 2’s net exposure is AUD 27 million.

C.

Under central clearing, Firm 3’s net exposure is AUD 0 million.

D.Under central clearing, the CCP’s net exposure is AUD 28 million.

解释:

D is correct. The CCP’s net exposure is AUD 28 million under central clearing. We express the positions – through the process of novation and netting – and present the results shown both in the table and the explanations below (note that a negative net exposure means a zero exposure)

A选项 1的双边netting后的 net exposure=30

B选项 2的双边netting后的 net exposure=57

对吗?

1 个答案
已采纳答案

pzqa27 · 2024年10月29日

嗨,从没放弃的小努力你好:


对的,没错

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虽然现在很辛苦,但努力过的感觉真的很好,加油!