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金融民工阿聪 · 2021年05月01日

关于D

NO.PZ2016082405000107

问题如下:

Which of the following statements regarding counterparty risk and lending risk is correct?

选项:

A.

For an interest-rate swap, counterparty risk exists because default may occur at the end of the contract term.

B.

With counterparty risk, there is uncertainty as to which counterparty will have a negative mark-to-market value.

C.

Lending risk involves bilateral risks.

D.

With lending risk, the principal amount at risk is known with absolute certainty at the outset.

解释:

B With counterparty risk, there is uncertainty regarding which counterparty will have a negative MtM value. For an interest-rate swap, there is no counterparty risk at the end of the contract term because all payments required by the contract would have been made by then. With lending risk, only one party (unilateral) takes on risk. In addition, the principal amount at risk is known only with reasonable certainty at the outset because changes in interest rates, for example, will lead to some uncertainty.

感觉D说的绝对确定是没错的啊。我理解在放出去后,本金会随着利率变化或者提前还款变化。但是D选项已经说了“at the outset”最初的时候,最初的时候我放的本金,我自己都不确定是多少吗?我放1000万,那就是绝对的1000万啊,at the outset。如果说after the outset那我就理解不是绝对的。所以为什么不能选D

1 个答案

袁园_品职助教 · 2021年05月02日

同学你好!

你说的有道理,但是我觉得D的表述并不太好,说absolute太绝对了

at the outset 是指放款的一瞬间吗?因为就算只是过了很短的时间(例如一天),我的exposure也已经变了


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