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?