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：

I only.

B.II only. C.

I and II.

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

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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

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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！

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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

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