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
老师这里计算exposure的时候我有点不理解,current method下不是先对比市场价格和0之间取较大的,在加上一个系数吗?
就是公司max(v,0)+D 那不就是30+D,这个D是NP*add on factor系数吗