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nanaluo · 2022年10月29日

请问选项3

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。

3里面的The financial institutions in Italy可以理解为是pay fixed的一方吗

1 个答案
已采纳答案

pzqa27 · 2022年10月31日

嗨,努力学习的PZer你好:


是的,同学理解很正确

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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