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vivian_zm · 2020年08月09日

问一道题:NO.PZ2019100902000012

问题如下:

Which of the following statements is incorrect?

选项:

A.

Expected mark to market (MtM): represents a transaction’s expected value at a certain time in the future.

B.

Expected exposure (EE): the average of all exposure values to be lost.

C.

Potential future exposure (PFE): the worst exposure we could have at a certain time in the future with a certain confidence level.

D.

PFE represents loss rather than gains ((exposure), as it represents the amount at risk when the counterparty defaults.

解释:

答案:D is correct.

解析:注意本题是让选出陈述中错误的一项。D的陈述错误,所以本题选择D。

A/B/C三个选项都是正确的,为基本定义。

D选择描述错误,正确的描述应为:PFE represents gains (exposure) rather than losses, as it represents the amount at risk when the counterparty defaults.

请问老师B选项

Expected exposure (EE): the average of all exposure values to be lost.


EE不是指某个时点的平均exposure吗?那这句话怎么区别是时点还是时间段呢?B选项看着像是说一段时间的平均,貌似是average EE,是EPE的概念呢,如何区分呢

1 个答案
已采纳答案

小刘_品职助教 · 2020年08月10日

同学你好,

这个B选项完全是根据讲义上的定义来的。

如果是EPE题目里会说 across all time horizons. 之类的话。