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

梦梦 · 2025年05月19日

为什么不netting到最后看exposure

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)

老师好,为什么不netting到最后再看exposure?

1 个答案

pzqa27 · 2025年05月19日

嗨,爱思考的PZer你好:


为什么不netting到最后再看exposure?

题目只问了双边netting和central clearing的结果,所以netting到最后也是也只有D是对的。

下图里面,1和2 的netting结果不可以跟1和3的netting结果再抵消,因为是双边netting,不是三角关系。



然后下面这个部分也是不对的,按您这个算法,任何CCP的exposure都是0了,因为只要没有违约的,支出和收入肯定是相同的,算exposure不能这么算。只有赚钱的一方才面临信用风险,CCP会收到28,所以CCP面临28的信用风险,因此exposure 是28.

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 4

    浏览
相关问题

NO.PZ2024042601000113 问题如下 A junior risk analyst a consulting firm is reviewing theoperationarrangements of bilaternetting ancentrclearing ofrivative tras. The analyst examines the following bilatertras of threefirms: • Firm 1’s exposure to Firm 2:AU90 million• Firm 2’s exposure to Firm 1:AU60 million• Firm 1’s exposure to Firm 3:AU12 million• Firm 3’s exposure to Firm 1:AU70 million• Firm 2’s exposure to Firm 3:AU57 million• Firm 3’s exposure to Firm 2:AU0 millionWhiof thefollowing statements is correct? A.Unr bilaternetting, Firm1’s net exposure is AU28 million. B.Unr bilaternetting, Firm2’s net exposure is AU27 million. C.Unr centrclearing, Firm3’s net exposure is AU0 million. Unr centrclearing, theCCP’s net exposure is AU28 million. iscorrect. The CCP’s net exposure is AU28 million unr centrclearing. Weexpress the positions – through the process of novation annetting – anresent the results shown both in the table anthe explanations below (notetha negative net exposure means a zero exposure) A 1的双边netting后的 net exposure=30B 2的双边netting后的 net exposure=57对吗?

2024-10-28 21:53 1 · 回答

NO.PZ2024042601000113 问题如下 A junior risk analyst a consulting firm is reviewing theoperationarrangements of bilaternetting ancentrclearing ofrivative tras. The analyst examines the following bilatertras of threefirms: • Firm 1’s exposure to Firm 2:AU90 million• Firm 2’s exposure to Firm 1:AU60 million• Firm 1’s exposure to Firm 3:AU12 million• Firm 3’s exposure to Firm 1:AU70 million• Firm 2’s exposure to Firm 3:AU57 million• Firm 3’s exposure to Firm 2:AU0 millionWhiof thefollowing statements is correct? A.Unr bilaternetting, Firm1’s net exposure is AU28 million. B.Unr bilaternetting, Firm2’s net exposure is AU27 million. C.Unr centrclearing, Firm3’s net exposure is AU0 million. Unr centrclearing, theCCP’s net exposure is AU28 million. iscorrect. The CCP’s net exposure is AU28 million unr centrclearing. Weexpress the positions – through the process of novation annetting – anresent the results shown both in the table anthe explanations below (notetha negative net exposure means a zero exposure) 麻烦分别画一下Unr bilaternetting和ccp的结果呗

2024-06-18 22:36 2 · 回答