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

RongLiang77 · 2022年10月06日

FRM II

  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。

想问一下swap rate是不是等同于fixed rate，III选项所说的fixed rate receiver收到的固定利率不应该是降低吗？怎么是上升的？

添加评论
2 个答案
已采纳答案

pzqa27 · 2022年10月06日

嗨，从没放弃的小努力你好：


您可以这么想啊，比如我们进入一个swap, 我们收固定，假如是3%， 一旦现在swap rate 下降，降到比如2%， 那么我们的swap是签好的，该收3%还是3%，不会随行就市变化，但是如果说要新签一个swap的话就只能收2%了。所以我们有收益

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

pzqa27 · 2022年10月06日

嗨，从没放弃的小努力你好：


想问一下swap rate是不是等同于fixed rate

是的

III选项所说的fixed rate receiver收到的固定利率不应该是降低吗？怎么是上升的？

三选项原话是“When the euro swap rate decreased, as fixed-rate receiver the counterparty risk exposure increased”。这里注意题目说的是风险敞口，并不是收到的固定利率。当swap rate 下降的时候，fixed rate receiver是收益的，因此他的风险敞口增加

----------------------------------------------
努力的时光都是限量版，加油！

RongLiang77 · 2022年10月06日

您好，想问一下为什么swap rate下降后，fixed rate receiver是收益呢？

  • 2

    回答

  • 1

    关注

  • 302

    浏览
相关问题

NO.PZ2020033003000080 问题如下 Whiof the following statements is correct? I. The Japanese banks livereyen (funyen) anachieveUSexposure using swap, the Japanese yen experiencea significant appreciation against the US Japanese banks achieveconsirable gain. II. When the swrate increases, the fixerate receivers experiena gain.III. When the euro swrate crease fixerate receiver the counterparty risk exposure increase The financiinstitutions in Italy hincreaseprobabilities of fault e to the poor economic contions. I only. B.II only. I anII. I anIII. is correct.考点Wrong-WRisk Vs. Right-WRisk解析swrate上升时收固定方亏钱，II错。 老师I表述当中日本银行通过互换合约支付日元收到美元，日元升值的时候，为什么会是gain呢？又没有说japbank是pfixe一方

2023-07-19 20:31 1 · 回答

NO.PZ2020033003000080 问题如下 Whiof the following statements is correct? I. The Japanese banks livereyen (funyen) anachieveUSexposure using swap, the Japanese yen experiencea significant appreciation against the US Japanese banks achieveconsirable gain. II. When the swrate increases, the fixerate receivers experiena gain.III. When the euro swrate crease fixerate receiver the counterparty risk exposure increase The financiinstitutions in Italy hincreaseprobabilities of fault e to the poor economic contions. I only. B.II only. I anII. I anIII. is correct.考点Wrong-WRisk Vs. Right-WRisk解析swrate上升时收固定方亏钱，II错。 interest rate swap和currenswap好像混在一起，应该怎么理解？

2022-11-02 14:13 2 · 回答

NO.PZ2020033003000080 问题如下 Whiof the following statements is correct? I. The Japanese banks livereyen (funyen) anachieveUSexposure using swap, the Japanese yen experiencea significant appreciation against the US Japanese banks achieveconsirable gain. II. When the swrate increases, the fixerate receivers experiena gain.III. When the euro swrate crease fixerate receiver the counterparty risk exposure increase The financiinstitutions in Italy hincreaseprobabilities of fault e to the poor economic contions. I only. B.II only. I anII. I anIII. is correct.考点Wrong-WRisk Vs. Right-WRisk解析swrate上升时收固定方亏钱，II错。 I为什么对，日元升值，作为支付日元 的一方不应该亏损嘛？swap开始前，每期固定多少日元换固定多少美元不应该定好了吗？

2022-11-01 08:59 4 · 回答

NO.PZ2020033003000080 问题如下 Whiof the following statements is correct? I. The Japanese banks livereyen (funyen) anachieveUSexposure using swap, the Japanese yen experiencea significant appreciation against the US Japanese banks achieveconsirable gain. II. When the swrate increases, the fixerate receivers experiena gain.III. When the euro swrate crease fixerate receiver the counterparty risk exposure increase The financiinstitutions in Italy hincreaseprobabilities of fault e to the poor economic contions. I only. B.II only. I anII. I anIII. is correct.考点Wrong-WRisk Vs. Right-WRisk解析swrate上升时收固定方亏钱，II错。 3里面的The financiinstitutions in Italy可以理解为是pfixe一方吗

2022-10-29 20:01 1 · 回答