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

返回

临江仙 · 2021年04月07日

这种三个CEA的三个期限会考吗

  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

BASEL I中的三个期限，压根没记，这个会考吗

添加评论
1 个答案
已采纳答案

袁园_品职助教 · 2021年04月08日

同学你好，一般不用记，考试真考到题目应该要给的

  • 1

    回答

  • 1

    关注

  • 1509

    浏览
相关问题

NO.PZ2016072602000048 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent. Calculate the cretequivalent amount unr the originalexposure metho A.$18.5million B.$42 million C.$35 million $26 million A is correct. Unrtheoriginexposure metho it woulbe:CEA=0.5%x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million 如题

2024-10-27 19:54 1 · 回答

NO.PZ2016072602000048 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent. Calculate the cretequivalent amount unr the originalexposure metho A.$18.5million B.$42 million C.$35 million $26 million A is correct. Unrtheoriginexposure metho it woulbe:CEA=0.5%x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million 1+1*int(m-1)取整不是3吗。。m-1=1.5 离2最近，1+2=3

2023-11-14 14:38 1 · 回答

NO.PZ2016072602000048 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent. Calculate the cretequivalent amount unr the originalexposure metho A.$18.5million B.$42 million C.$35 million $26 million A is correct. Unrtheoriginexposure metho it woulbe:CEA=0.5%x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million int【m-a】是什么意思，两个int【x】计算下来都是1？

2023-11-13 16:24 1 · 回答

NO.PZ2016072602000048 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent. Calculate the cretequivalent amount unr the originalexposure metho A.$18.5million B.$42 million C.$35 million $26 million A is correct. Unrtheoriginexposure metho it woulbe:CEA=0.5%x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million 请问该类题目如何具体做呢，这些个系数是从哪里来的，A ON factor？该类题目如何计算VALUE 呢

2023-10-04 05:16 2 · 回答

NO.PZ2016072602000048 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent. Calculate the cretequivalent amount unr the originalexposure metho A.$18.5million B.$42 million C.$35 million $26 million A is correct. Unrtheoriginexposure metho it woulbe:CEA=0.5%x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million 请问老师，品职出的这道题和原版书上的题目，哪里有不同啊？为什么这道题不用加上value

2023-08-04 15:15 1 · 回答