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小爽加油呀 · 2023年04月07日

-10怎么处理

  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，为什么不+ -10. 负数直接归0吗

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1 个答案

pzqa27 · 2023年04月09日

嗨，努力学习的PZer你好：


-10不用加，它需要先和0取个较大值

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

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