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金融民工阿聪 · 2021年05月01日

关于B

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.

1.上一次提问我表达了关于D的看法:

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

2.而B对于对手方风险的描述,我觉得对手方风险的承担主体是赚钱的那个,所以关键点在于uncertainty of positive mark-to-market value,而不是negative。negative太间接了,只能证明说谁不承担对手方风险而已,我们要找的应该是positive承担对手方风险的那个才对吧。

3.综上所诉,为啥不选B要选D


2 个答案
已采纳答案

小刘_品职助教 · 2021年05月03日

同学你好,

我觉得这个题目我们在对D选项的理解上不太一致。你理解的是说在一开始时点绝对知道这个exposure(是指这个刚刚开始的时点);而我对这句话的理解是从一开始到后续都绝对知道这个exposure(是指我从开始到后续during period)。。。

个人建议从考试的角度 D选项描述的这种程度很深的absolute certainty还是不要选😅

小刘_品职助教 · 2021年05月02日

同学你好,

这道题首先对于D我是这么理解的。D选项表述的意思我和你理解的不完全一致,D选项翻译成中文的意思对于贷款风险,风险的本金在一开始就可以绝对确定地知道。(这句话表达了其实是说在整个时间段中本金都是绝对可以知道,而不是说我只在一开始知道这个绝对的量,这点是我们理解不一致的地方),就这个问题从原版书上举的一个例子可以看出来。

其次再说B,B选项确实在选项上不那么完美,counterparty risk,也就是对手方没有意愿或者没有能力履约而带来的风险,没有直接说到exposure。B选项主要还是关于由counterparty risk带来的uncertainty的,只能说negative不确定的话也表达了positive也同时是不确定的意思。 这边建议同学不要纠结这个点,D选项与原版书的描述是绝对相左的,所以如果考试真的遇到了这个题目,D选项还是不能选。

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NO.PZ2016082405000107 Whiof the following statements regarng counterparty risk anlenng risk is correct? For interest-rate swap, counterparty risk exists because fault moccur the enof the contraterm. With counterparty risk, there is uncertainty to whicounterparty will have a negative mark-to-market value. Lenng risk involves bilaterrisks. With lenng risk, the principamount risk is known with absolute certainty the outset. B With counterparty risk, there is uncertainty regarng whicounterparty will have a negative MtM value. For interest-rate swap, there is no counterparty risk the enof the contraterm because all payments requirethe contrawoulhave been ma then. With lenng risk, only one party (unilateral) takes on risk. In aition, the principamount risk is known only with reasonable certainty the outset because changes in interest rates, for example, will leto some uncertainty. 感觉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。但是经说了“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,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

2021-05-01 19:45 1 · 回答

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2021-04-16 22:31 1 · 回答

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