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和棋 · 2020年11月06日

问一道题:NO.PZ2016082405000064

问题如下:

Which of the following statements best describes the benefit of netting risk exposures? The benefits of netting are realized when:

选项:

A.

marked-to-market (MtM) values have high structural correlations for two trades.

B.

marked-to-market (MtM) values have opposite signs for two trades.

C.

expected exposure (EE) values are minimal.

D.

expected future exposure (EFE) values have zero correlation.

解释:

B The benefits of netting are realized when MtM values have opposite signs for two trades.

什么叫Have opposite sign for 2 trades

1 个答案

袁园_品职助教 · 2020年11月06日

交易双方互有头寸,方向相反,才可以相互抵消,netting才有效果