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小奔驰 · 2019年10月28日

问一道题：NO.PZ2016072602000048 [ FRM II ]

  1. FRM II
  2. Basel Accord

问题如下图：

选项：

A.

B.

C.

D.

解释：

老师，此题具体是巴1的哪个考点？

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orange品职答疑助手 · 2019年10月29日

同学你好，它考察的是讲义这页知识点


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NO.PZ2016072602000048 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent. Calculate the cretequivalent amount unr the originalexposure metho A.$18.5million B.$42 million C.$35 million $26 million A is correct. Unrtheoriginexposure metho it woulbe:CEA=0.5%x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million 1+1*int(m-1)取整不是3吗。。m-1=1.5 离2最近，1+2=3

2023-11-14 14:38 1 · 回答

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