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magickame · 2022年11月02日

最后一个选项有点混乱

  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。

interest rate swap和currency swap好像混在一起，应该怎么理解？

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2 个答案

李坏_品职助教 · 2022年11月03日

嗨，从没放弃的小努力你好：


III的意思是，我们在和欧洲的银行做利率互换。

当欧洲的swap rate下降时，我们作为收取固定利率的一方是赚钱的（站在我们的角度，exposure在上升）。对手方是支付固定利率、收取浮动利率，他们在亏钱。由于欧洲经济下行的影响，他们雪上加霜了，他们的违约率大幅上升。


所以就是我们在赚钱的时候，对手方违约率上升了，我们的利润不一定保得住。所以是wrong way risk。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

李坏_品职助教 · 2022年11月02日

嗨，努力学习的PZer你好：


对，这里I、II、III分别对应外汇互换、利率互换和利率互换，是分开来看的。


I说的是外汇互换，日本银行通过国内的日元融资来支付日元，收取美元。如果日元升值，相当于日本银行每一期收取的USD变多了，所以日本银行是赚钱的。I是对的。


II说的是利率互换，如果利率互换的swap rate上升，由于此时收取固定利率的一方依然只能收取固定利息，所以这一方是亏钱的。II错误。


III这段话没说全，他指的是前几年的欧债危机的背景下，当欧洲的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，我们是收取固定利息的，所以我们在赚钱（exposure上升），对手方亏钱。而此时欧洲经济又不好，对手方违约率可能会上升。III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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