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金融民工阿聪 · 2021年05月02日

and LIBOR-linked assets naturally incorporate some hedge for bank funding risk.

NO.PZ2021030502000020

问题如下:

Which of the following is not LIBOR's advantages ?

选项:

A.LIBOR has been used since the mid-1980s, everyone is comfortable with it B.There are 10 maturities out to 12 months for dollar LIBOR, compared to one for overnight SOFR. C.LIBOR incorporates a bank credit risk premium, and LIBOR-linked assets naturally incorporate some hedge for bank funding risk. D.LIBOR has a deep, liquid market.

解释:

D is correct

LIBOR相对SOFR来说缺乏流动性很好的市场。所以D选项的描述是错误的。

and LIBOR-linked assets naturally incorporate some hedge for bank funding risk.这句话是什么意思呢

2 个答案
已采纳答案

袁园_品职助教 · 2021年05月04日

不是银行的asset用libor定价,而是银行去投资LIBOR-linked assets

当你投资的东西包含了你本身的风险所要求的补偿时,那么这个风险就被对冲掉了;因为如果此时风险发生,你的投资收益可以cover风险带来的损失

袁园_品职助教 · 2021年05月03日

因为Libor是无抵押的,所以包含了银行的 credit risk premium,那么 LIBOR-linked assets 也包含了银行的 credit risk premium,天然的与银行的融资风险形成对冲(Asset和liability都包含同一个risk)