NO.PZ2016082406000053
问题如下：
BNP Paribas has just entered into a plain-vanilla interest-rate swap as a pay-fixed counterparty. Credit Agricole is the receive-fixed counterparty in the same swap. The forward spot curve is upward-sloping. If LIBOR starts trending down and the forward spot curve flattens, the credit risk from the swap will:
选项： A. Increase
only for BNP Paribas
B. Increase
only for Credit Agricole
C. Decrease
for both BNP Paribas and Credit Agricole
D. Increase
for both BNP Paribas and Credit Agricole
解释：
ANSWER: B
With an upward-sloping term structure, the fixed payer has greater credit- exposure. It receives less initially, but receives more later. This backloading of payments increases credit exposure. Conversely, if the forward curve flattens, the fixed payer (i.e., BNP Paribas) has less credit exposure. Credit Agricole must have greater credit exposure. Alternatively, if LIBOR drifts down, BNP will have to pay more, and its counterparty will have greater credit exposure.
BNP是支固定收浮动，远期利率降低，BNP的盈利减少，所以exposure变小，同理CA的变大。
