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我们 · 2020年04月26日

问一道题：NO.PZ2016082405000023

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Jemis Fund Management Inc.(Jemis) is a mutual fund company that frequently trades interest rate swaps. One of the swaps currently outstanding has a net present value (NPV) of $2 million in Jemis' favor. According to Jemis, the $2 million represents its potential loss in the event of the counterparty's default. Which of the following terms best describes this amount?

选项：

A.

Exposure at default.

B.

Recovery.

C.

Expected loss.

D.

Loss given default.

解释：

Exposure at default (exposure) is the potential amount lenders would lose in the event of a borrower’s default. Exposure for interest rate swaps is the NPV of the swap. Loss given default (LGD) is the amount of creditor loss in the event that a default does occur, and is calculated as the exposure less recovery. The fraction of exposure not lost at default is recovery. Expected loss is the expected value of the credit loss, and is a factor of the probability of default and LGD.

涉及到NPV的就是exposure吗？请问怎么区分exposure at default，和 LGD?

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1 个答案

袁园_品职助教 · 2020年04月27日

同学你好！

EAD就是风险敞口，简单的说比如你买了100万的零息债券，那么敞口就是100万。

LGD是违约损失率，意思是虽然你敞口是那么多，但是违约不一定完全不能获赔，比方你买的零息债券的公司破产清算了，他的清算资产可能能够使你收回部分投资，比如收回40%（recovery rate），那么LGD=1-RR=60%。

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NO.PZ2016082405000023 Jemis FunManagement Inc.(Jemis) is a mutufuncompany thfrequently tras interest rate swaps. One of the swaps currently outstanng ha net present value (NPV) of $2 million in Jemis' favor. Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault. Whiof the following terms best scribes this amount? Exposure fault. Recovery. Expecteloss. Loss given fault. Exposure fault (exposure) is the potentiamount lenrs woullose in the event of a borrower’s fault. Exposure for interest rate swaps is the NPV of the swap. Loss given fault (LG is the amount of cretor loss in the event tha fault es occur, anis calculatethe exposure less recovery. The fraction of exposure not lost fault is recovery. Expecteloss is the expectevalue of the cret loss, anis a factor of the probability of fault anLG Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault题目不是说了吗，in-the-event-fo-fault，不就是LG意思吗，那不然这个LG怎么描述？

2021-02-21 15:04 1 · 回答

Jemis FunManagement Inc.(Jemis) is a mutufuncompany thfrequently tras interest rate swaps. One of the swaps currently outstanng ha net present value (NPV) of $2 million in Jemis' favor. Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault. Whiof the following terms best scribes this amount? Exposure fault. Recovery. Expecteloss. Loss given fault. Exposure fault (exposure) is the potentiamount lenrs woullose in the event of a borrower’s fault. Exposure for interest rate swaps is the NPV of the swap. Loss given fault (LG is the amount of cretor loss in the event tha fault es occur, anis calculatethe exposure less recovery. The fraction of exposure not lost fault is recovery. Expecteloss is the expectevalue of the cret loss, anis a factor of the probability of fault anLG 题干中说Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault. 不就是说这个2million是在对手方违约时的potentiloss吗，这个我理解就是Loss given fault的含义呀，也就是说一旦违约就一分都拿不回来了，RR=0

2020-02-23 03:40 1 · 回答

为什么不是EL？如果违约的话潜在损失是2million，表述的意思不就是预计损失2million么？

2019-04-23 14:45 1 · 回答

potenti loss不应该是亏损的时候大概有多少损失吗，觉对

2019-03-03 14:08 1 · 回答