开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

金融民工阿聪 · 2020年08月16日

问一道题:NO.PZ2016082406000059

问题如下:

Suppose BSM, a large derivative market maker, has six contracts with a counterparty, all transacted in New York (i.e., the same legal jurisdiction). The current market values (PV) for these contracts are: 125, 75, 25, -10, -65, and -140. Suppose BSM does not currently have a legally enforceable netting agreement with the counterparty. By how much would BSM’s current credit exposure to this counterparty improve if it did have a legally enforceable netting agreement with the counterparty?

选项:

A.

0

B.

10

C.

215

D.

225

解释:

ANSWER: C

The sum of positive exposures is 225. This is the credit exposure without netting. The sum of negative exposures is 215. With netting, the exposure goes to 10, or a drop of 215.

这里225变成10不是减少了215吗,为什么能叫improve呢

1 个答案

袁园_品职助教 · 2020年08月17日

同学你好!

这题问的是netting会比不netting减小多少的头寸。

不netting的时候现值为正的头寸都是可能的exposure,就是125+75+25=225;

netting时候是125+75+25-10-65-140=10.

所以improve了225-10=215的敞口