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^(* ̄(oo) ̄)^进击ing🍬🍬 · 2020年05月23日

问一道题:NO.PZ2020020601000018

问题如下:

The counterparty to a dealer in the OTC market has agreed to post margin equal to max(V, 0) where V is the value of outstanding transactions to the dealer. What credit risk is the dealer taking?

选项:

解释:

The risk to the dealer corresponds to a possible increase in the value of its transactions with the counterparty around the time that the counterparty defaults. In particular, it has exposure to increases in value between the last time that the counterparty posts collateral and the time when the dealer is able to close out its position with the counterparty.

没看懂,求解析答案~~~

1 个答案

品职答疑小助手雍 · 2020年05月23日

嗨,从没放弃的小努力你好:


举例比较容易说明:比如counterparty A对dealer的头寸是负100,此时dealer收了A100的保证金,此时按理说dealer当前没有信用风险,结果一夜之间A亏了一个小目标,那也就是A对dealer的头寸变成了负1亿零100,A选择违约清算。

也就是说dealer面临的信用风险是(在一定可能性下)A突然有了巨额损失同时不补充保证金而直接违约的事件发生的风险


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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