问一道题：NO.PZ2016082406000059 [ FRM II ]

请问sum225怎么算

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品职答疑小助手雍 · 2019年04月05日

同学你好，这题问的是netting会比不netting减小多少的头寸。

不netting的时候现值为正的头寸都是可能的exposure，就是125+75+25=225；

netting时候是125+75+25-10-65-140=10.

所以improve了225-10=215的敞口

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Suppose BSM, a large rivative market maker, hsix contracts with a counterparty, all transactein New York (i.e., the same legjurisction). The current market values (PV) for these contracts are: 125, 75, 25, -10, -65, an-140. Suppose BSM es not currently have a legally enforceable netting agreement with the counterparty. how muwoulBSM’s current cret exposure to this counterparty improve if it have a legally enforceable netting agreement with the counterparty? 0 10 215 225 ANSWER: C The sum of positive exposures is 225. This is the cret exposure without netting. The sum of negative exposures is 215. With netting, the exposure goes to 10, or a op of 215. 这里225变成10不是减少了215吗，为什么能叫improve呢

2020-08-16 18:06 1 · 回答

所以improve的意思是问改变的值？

2019-04-14 10:33 1 · 回答

问一道题：NO.PZ2016082406000059 [ FRM II ]

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