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410140980 · 2022年11月04日

计算衍生品的equilivalent exposure

  1. FRM II
  2. Basel Accord

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

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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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