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Colin · 2021年11月18日

I 不理解

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000080

问题如下：

Which of the following statements is correct?

I. The Japanese banks delivered yen (funded by yen) and achieved USD exposure by using swap, the Japanese yen experienced a significant appreciation against the USD, Japanese banks achieved considerable gain.

II. When the swap rate increases, the fixed-rate receivers experience a gain.

III. When the euro swap rate decreased, as fixed-rate receiver the counterparty risk exposure increased. The financial institutions in Italy had increased probabilities of default due to the poor economic conditions.

选项：

A.

I only.

B.II only. C.

I and II.

D.

I and III.

解释：

D is correct.

考点：Wrong-Way Risk Vs. Right-Way Risk

解析：swap rate上升时收固定方亏钱，II错。

您好，I不太理解

JPY升值，付出JPY，付出的多了

USD贬值，得到USD，得到的少了

怎么能说赚钱呢？

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1 个答案

李坏_品职助教 · 2021年11月18日

嗨，努力学习的PZer你好：


是这样理解的：一开始我作为日本的银行，付给你100日元换来1美元，结果日元升值，我只需要给你80日元就可以换来1美元了，这就是有利润了啊~

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

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