问题如下图:swap rate 一般都是指的fixed rate啊,这里写的是上升100bpswap rate,那就得是fixed rate上升而不是libor上升100bp啊。那就是bank获利100bp啊
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NO.PZ2020033002000048 问题如下 ABank enters into a four-yeinterest rate swwith principof US100 million, receiving 5% fixeannually against 12-month LIBOR. If the swrate increases 100 basis points over the first year, whis the cret exposure the enof ye1? US1 million US2.78 million US5 million US0 is correct.考点Cret exposure解析Swrate 上升,Abank 是亏钱的,无信用风险敞口 想问下,如果对于赚钱的一方,在这道题的给定信息下,他的信用风险敞口如何计算?
NO.PZ2020033002000048问题如下 ABank enters into a four-yeinterest rate swwith principof US100 million, receiving 5% fixeannually against 12-month LIBOR. If the swrate increases 100 basis points over the first year, whis the cret exposure the enof ye1? US1 million US2.78 million US5 million US0 is correct.考点Cret exposure解析Swrate 上升,Abank 是亏钱的,无信用风险敞口 此题正常如何计算敞口呢?swrate上升是什么意思?代表公式中什么变化了?为什么说亏钱了呢?烦请从公式角度计算一下,谢谢。听完课但是还是不知道怎么计算。另外,swrate到底是哪个利率呢?从一级就没有明白。
NO.PZ2020033002000048问题如下 ABank enters into a four-yeinterest rate swwith principof US100 million, receiving 5% fixeannually against 12-month LIBOR. If the swrate increases 100 basis points over the first year, whis the cret exposure the enof ye1? US1 million US2.78 million US5 million US0 is correct.考点Cret exposure解析Swrate 上升,Abank 是亏钱的,无信用风险敞口 IRS是支固定收浮动吗?那企业的敞口不是应该是二者的差值吗?为啥swrate也就是固定利率上升了就直接确定亏损,0敞口了呢?不是应该考虑上升之后和收到的浮动之间的差额吗?
NO.PZ2020033002000048 问题如下 ABank enters into a four-yeinterest rate swwith principof US100 million, receiving 5% fixeannually against 12-month LIBOR. If the swrate increases 100 basis points over the first year, whis the current exposure the enof ye1? US1 million US2.78 million US5 million US0 is correct.考点Cret exposure解析Swrate 上升,Abank 是亏钱的,无信用风险敞口 Swrate 不应该就是固定利率嘛?Ace作为固定的receiver不应该是赚钱的吗?为什么会是亏钱呢?
NO.PZ2020033002000048问题如下 ABank enters into a four-yeinterest rate swwith principof US100 million, receiving 5% fixeannually against 12-month LIBOR. If the swrate increases 100 basis points over the first year, whis the current exposure the enof ye1? US1 million US2.78 million US5 million US0 is correct.考点Cret exposure解析Swrate 上升,Abank 是亏钱的,无信用风险敞口 请问这道题的前后几个解析是不一致的?swrate是指哪一个