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nanaluo · 2022年11月06日

这题为什么不用考虑NRR呢？

  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

这题为什么不用考虑NRR呢？

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已采纳答案

李坏_品职助教 · 2022年11月06日

嗨，从没放弃的小努力你好：


这个题目不涉及netting，不需要考虑NRR。


NRR是在有Netting的时候才需要考虑的：


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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