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Aaaron · 2021年03月25日

Market value的含义

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000048

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 under the original exposure method.

选项：

A.

$18.5 million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Under the original exposure method, it would be:

CEA=0.5% x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million

在本题中，题目给了prin和market value，在一级的时候，总是这两个概念搞混。。。有时候题目答案说 91/100（91好像是市场价值，100是面值）请问如何去区别呀？其他知识点没有问题

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品职答疑小助手雍 · 2021年03月25日

嗨，努力学习的PZer你好：


principle面值就是固定收益类的证券或者衍生品参考的基准，比如债券面值是100，互换的面值是XXX一般都是整数。

固收或者衍生品们也会有其他的要素，比如coupon之类的，会影响他们的market value。所以市场上面值100的债券交易的价格可能会是110元，这个110的交易价格就是market value。

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