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410140980 · 2022年11月04日

计算衍生品的equilivalent exposure

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

1 个答案

李坏_品职助教 · 2022年11月04日

嗨,努力学习的PZer你好:


对,D = NP * add on factor,其中Np是100(题目说了 interest rate swaps with $100 million each),而add on factor,按照表格可以得出:小于1年的利率互换(题目说了having remaining maturity of 0.5)的factor是0:

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