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hbc0728 · 2022年07月11日

还请解释一下II与III，谢谢。

  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。

如题

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2 个答案

品职答疑小助手雍 · 2022年07月14日

是固定的，但是你要想你现在已经签订过swap了，市场利率在变化，市场上新的swap rate也就会变化，而这个变化也代表着市场利率的变化方向。

品职答疑小助手雍 · 2022年07月12日

同学你好，

II ：swap开始了之后固定利率就不会变了。 这句话的意思是此时市场上swap rate上升了（可以理解成市场上浮动利率的平均值上升了），对已经存在的swap的收固定方来说，要付出的浮动利息增加了，收到的却是固定，所以亏钱。

III里面（前面原理跟II类似），作为收取固定利息的一方理论上是赚钱的。当swap rate下降时，对手方（收取浮动利息）收益在下降，但还要支付给我们固定利息，因此对手方亏钱，对手方违约的可能性变大了。而此时经济又不好，对手方违约率可能会上升更多。

hbc0728 · 2022年07月13日

swap rate不是那个固定利率吗？

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