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LHY · 2020年08月08日

问一道题：NO.PZ2019070901000088

  1. FRM II
  2. Basel Accord

问题如下：

Suppose that an $80 million exposure to a particular counterparty is secured by collateral worth $70 million. The collateral consists of bonds issued by an A-rated company. The counterparty has a rating of B+. The risk weight for the counterparty is 150% and the risk weight for the collateral is 50%. The risk-weighted assets applicable to the exposure using the simple approach is?

选项：

A.

$50 million

B.

$80 million

C.

$61 million

D.

$79 million

解释：

A is correct.

考点：calculate RWA

解析：

risk-weighted assets = (0.5 x 70) + (1.5 x 10) = $50 million

为啥不是80*150% - 70*50% 呢

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1 个答案

小刘_品职助教 · 2020年08月09日

同学你好，

这道题是按照定义来做的，供参考。

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NO.PZ2019070901000088问题如下Suppose th$80 million exposure to aparticulcounterparty is securecollaterworth $70 million. Thecollaterconsists of bon issueA-ratecompany. The counterparty hasa rating of B+. The risk weight for the counterparty is 150% anthe riskweight for the collateris 50%. The risk-weighteassets applicable to theexposure using the simple approais?A.$50million B.$80 million C.$61 million $79 million A is correct. 考点calculate RWA解析risk-weighteassets = (0.5x 70) + (1.5 x 10) = $50 million 本题如果用综合法怎么计算

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2024-04-24 15:23 2 · 回答

NO.PZ2019070901000088 问题如下 Suppose th$80 million exposure to aparticulcounterparty is securecollaterworth $70 million. Thecollaterconsists of bon issueA-ratecompany. The counterparty hasa rating of B+. The risk weight for the counterparty is 150% anthe riskweight for the collateris 50%. The risk-weighteassets applicable to theexposure using the simple approais? A.$50million B.$80 million C.$61 million $79 million A is correct. 考点calculate RWA解析risk-weighteassets = (0.5x 70) + (1.5 x 10) = $50 million 请问我看了以前的解答，仍然不理解这个SIMPLE APPROA为什么需要加上押品的价值？那个10从哪里来的呢？如果一开始就计算了纯EXPOSURE 是10，根本不需要1.5倍啊？权重为150的意思是，原始EXPOSURE 需要乘以1.5，主要原因是对手方风险高，而不是二者轧差后还乘以1.5. 另外，押品折价也是根据权重的。

2023-10-04 05:42 1 · 回答

老师，还是不明白为什么150%对应的是10，是因为剩下的部分被collateral覆盖掉了吗？

2020-09-29 23:41 1 · 回答

这里对手的rating和保险的 rating是干扰项吗？实际排名多少并没关系么

2020-09-04 00:40 1 · 回答