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我们 · 2021年03月11日

请问这个题什么意思

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000086

问题如下：

The derivatives book of an international bank contains $300 million of notional value of interest rate swaps with $100 million each having remaining maturity of 0.5, 1.5 and 2.5 years. Their market value is $30 million. The book also has $300 million of foreign exchange swaps with a similar maturity profile and a market value of -$10 million. All counterparties are private corporations, so the risk weight is 100 percent.Calculate the credit equivalent amount by Current Exposure Method.

选项：

A.

18.5 million

B.

42 million

C.

28 million

D.

35 million

解释：

B is correct.

考点：Risk Charge for derivatives

Under the current exposure method, the credit equivalent amount would be:

CEA=30+ 0%× 100 + 0.5%×200 + 1%× 100 + 5%×200 = $42 million

请问 1、这个题里面的200是怎么得出的？ 2、这个到期日分别是0.5，1.5，2.5。好像针对的都是 interest rate swap，为什么还会用到其他种类的系数呢
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1 个答案

小刘_品职助教 · 2021年03月11日

同学你好，

这题的200其实是100+100；比如以第三项的200为例，因为1-5年的系数都是0.5%，所以就有100+100的头寸在这个区间，对应的就是200*0.5%

这里是有两个，一个是interest rate swap；另一个是foreign exchange swap，所以有两个不同的系数。


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