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我们 · 2022年08月13日

请问这么做的问题在哪里？

  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

老师好，我按照add-on factor的表格，和current 的方法做的，请问有什么问题吗？感觉和答案不一样



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2 个答案

DD仔_品职助教 · 2022年11月05日

嗨，从没放弃的小努力你好：


大概率不会，需要记住

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加油吧，让我们一起遇见更好的自己！

DD仔_品职助教 · 2022年08月14日

嗨，爱思考的PZer你好：


同学你的系数选的都不对，不光要看产品还要对应期限，比如说小于1年期的IRS系数是0，而你在计算的时候用的是0.5%。1.5和2.5年的IRS用的都是0.5%，而你选的是1%和2%。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

410140980 · 2022年11月04日

老师考试会给这个系数的表吗？

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