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

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

添加评论
2 个答案
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

----------------------------------------------
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


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 2

    回答

  • 0

    关注

  • 652

    浏览
相关问题

NO.PZ2019070901000086 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 cret equivalent amount Current Exposure Metho A.18.5 million B.42million C.28 million 35 million B is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 此题看不了明白，看了讲义还不明白，另外，啥是A ON FACTOR？此题目中给出的条件都怎么用呢？谢谢

2023-10-04 05:12 2 · 回答

NO.PZ2019070901000086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 cret equivalent amount Current Exposure Metho A.18.5 millionB.42millionC.28 million35 millionB is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 老师，那几种敞口是怎么分出来的呢

2023-07-26 16:33 2 · 回答

NO.PZ2019070901000086 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 cret equivalent amount Current Exposure Metho A.18.5 million B.42million C.28 million 35 million B is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 老师basel1中计算RWA在表外资产是衍生品的时候计算exposure时候是不是不需要考虑risk weighte算RWA才需要考虑risk weighte，计算这个exposure就是为了去类比表内资产的notionprincipal吧

2023-07-25 23:13 1 · 回答

NO.PZ2019070901000086 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 cret equivalent amount Current Exposure Metho A.18.5 million B.42million C.28 million 35 million B is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 老师，current exposure 和 originexposure两个表都要背下来吗

2023-04-07 19:02 1 · 回答

NO.PZ2019070901000086 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 cret equivalent amount Current Exposure Metho A.18.5 million B.42million C.28 million 35 million B is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 老师，为什么不+ -10. 负数直接归0吗

2023-04-07 18:53 1 · 回答