问一道题：NO.PZ2016082406000051

问题如下：

Which one of the following deals would have the greatest credit exposure for a $1,000,000 deal size (assume the counterparty in each deal is an AAA-rated bank and has no settlement risk)?

选项：

Pay fixed in an Australian dollar (AUD) interest rate swap for one year.

Sell USD against AUD in a one-year forward foreign exchange contract.

Sell a one-year AUD cap.

Purchase a one-year certificate of deposit (CD).

解释：

ANSWER: D

The CD has the whole notional at risk. Otherwise, the next greatest exposures are for the forward currency contract and the interest rate swap. The short cap position has no exposure if the premium has been collected. Note that the question eliminates settlement risk for the forward contract.

老师，还是不要太明白为什么不是b？

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1 个答案

袁园_品职助教 · 2020年03月10日

同学你好！

B选项是期外汇，按规定好的汇率将美元换成澳元。在到期进行交割时，是不用对名义本金进行交割的。只交割远期汇率与当时的即期汇率之间的差额。所以其风险敞口跟A选项类似。

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NO.PZ2016082406000051 Whione of the following als woulhave the greatest cret exposure for a $1,000,000 size (assume the counterparty in eais AAA-ratebank anhno settlement risk)? Pfixein Australill(AU interest rate swfor one year. Sell USagainst AUin a one-yeforwarforeign exchange contract. Sell a one-yeAUcap. Purchase a one-yecertificate of posit (C. ANSWER: The hthe whole notionrisk. Otherwise, the next greatest exposures are for the forwarcurrencontraanthe interest rate swap. The short cposition hno exposure if the premium hbeen collecte Note ththe question eliminates settlement risk for the forwarcontract. settlement risk是什么，为什么假设了没有settlement risk，是会有满的敞口

2021-03-09 02:07 2 · 回答

对B有疑问老师，讲义270页有一句话The long-tenature anexchange of notionin cross-currenswaps anforeign exchange forwar means they carry a lot of counter-party risk.这是说forwarforeign exchange也交换全部本金的吧？

2019-08-04 09:12 1 · 回答

不太理解这个产品为啥是 whole notionrisk 可以一下这个产品吗？

2019-03-07 09:28 1 · 回答

那AB的敞口不是whole nominprincipal？为何

2018-10-03 13:48 2 · 回答

问一道题：NO.PZ2016082406000051

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