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seven-zhu · 2021年09月10日

如题

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000086

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 by Current Exposure Method.

选项：

A.

18.5 million

B.

42 million

C.

28 million

D.

35 million

解释：

B is correct.

考点：Risk Charge for derivatives

Under the current exposure method, the credit equivalent amount would be:

CEA=30+ 0%× 100 + 0.5%×200 + 1%× 100 + 5%×200 = $42 million

All counterparties are private corporations, so the risk weight is 100 percent.

想问下题目这句话有什么含义吗，何老师视频里面好像没有讲这句话。如果变成80%，会对计算结果有什么影响吗

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已采纳答案

李坏_品职助教 · 2021年09月11日

嗨，爱思考的PZer你好：


这道题考察的是current exposure计算credit equivalent amount。current exposure不需要考虑risk weight


如果让你用original exposure去计算的话，就得考虑weight了。就是最后求出来的结果要乘以risk weight

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

luqibz · 2021年12月02日

老师请问，current exposure最后不用CEA*RW吗？

李坏_品职助教 · 2021年12月02日

嗨，爱思考的PZer你好：


这道题在讲义P26有例题，计算方法在P23。题目要求用current exposure method去计算CEA， 因为交易对手都是private corporation，所以RW都是100%，等于不用考虑RW的影响。


直接用market value（或者0）加上各自的D，D就是按照表里面给出的，不同的swap对应不同的add-on factor，再乘以NP


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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