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410140980 · 2022年11月04日

add on factor的表

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000048

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 under the original exposure method.

选项：

A.

$18.5 million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Under the original exposure method, it would be:

CEA=0.5% x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million

老师衍生品计算exposure的时候 add on fator的系数表会给吗？还是要自己背？

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1 个答案

pzqa27 · 2022年11月04日

嗨，从没放弃的小努力你好：


一般来说考试不会在这方面难为大家的，但是我无法给出下次考试的准确判断

----------------------------------------------
努力的时光都是限量版，加油！

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