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朵朵0927 · 2020年03月10日

问一道题：NO.PZ2016082406000048

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Assume that a bank enters into a USD 100 million, four-year annual-pay interest rate swap, where the bank receives 6% fixed against 12-month LIBOR. Which of the following numbers best approximates the current exposure at the end of year 1 if the swap rate declines 125 basis points over the year?

选项：

A.

USD 3,420,069

B.

USD 4,458,300

C.

USD 3,341,265

D.

USD 4,331,382

解释：

ANSWER: A

The value of the fixed-rate bond is   6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420. Subtracting $100 for the floating leg gives an exposure of $3.4 million. More intuitively, the sum of the coupon difference is 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25, or around $3.75 million without discounting.

老师，没看出来什么意思？

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1 个答案

袁园_品职助教 · 2020年03月10日

同学你好！

题目的意思就是说银行签了一个4年的 interest swap rate，每年收6%固定利息；现在一年过去了，利率下降了125 basis point，问银行的exposure（就是问银行赚了多少钱）

直接用未来现金流折现就可以了，在第一年末，未来还有三笔现金流 6、6、106，用对应的折现率折现即得到现值，即第一年末银行的 exposure

 

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NO.PZ2016082406000048 Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis   6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16​+ (1+4.75%)26​+(1+4.75%)3106​=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. More intuitively, the sum of the coupon fferenis 3 times {(6%-4.75%)}\$100=$1.25 (6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting.

2021-03-29 23:09 2 · 回答

Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis   6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16​+ (1+4.75%)26​+(1+4.75%)3106​=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 请问为什么是分子用6%，而分母用4.75%，为什么不是用6%折现，谢谢！

2020-03-26 21:49 1 · 回答

Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis   6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16​+ (1+4.75%)26​+(1+4.75%)3106​=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 请问为什么是分子用6%，而分母用4.75%，为什么不是用6%折现，谢谢！

2020-03-26 21:49 2 · 回答

老师，题目里不是4年合约，为啥答案只算三年？

2019-10-27 18:48 1 · 回答