开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

小爽加油呀 · 2023年04月07日

老师。这个数据表都背吗

  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，current exposure 和 original exposure两个表都要背下来吗

添加评论
1 个答案

品职答疑小助手雍 · 2023年04月08日

同学你好，是的，产品对应期限的add on factor需要记。

  • 1

    回答

  • 0

    关注

  • 308

    浏览
相关问题

NO.PZ2019070901000086 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent.Calculate the cret equivalent amount Current Exposure Metho A.18.5 million B.42million C.28 million 35 million B is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 此题看不了明白，看了讲义还不明白，另外，啥是A ON FACTOR？此题目中给出的条件都怎么用呢？谢谢

2023-10-04 05:12 2 · 回答

NO.PZ2019070901000086问题如下Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent.Calculate the cret equivalent amount Current Exposure Metho A.18.5 millionB.42millionC.28 million35 millionB is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 老师，那几种敞口是怎么分出来的呢

2023-07-26 16:33 2 · 回答

NO.PZ2019070901000086 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent.Calculate the cret equivalent amount Current Exposure Metho A.18.5 million B.42million C.28 million 35 million B is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: CEA=30+0%× 100 +0.5%×200+ 1%× 100 +5%×200= $42 million 老师basel1中计算RWA在表外资产是衍生品的时候计算exposure时候是不是不需要考虑risk weighte算RWA才需要考虑risk weighte，计算这个exposure就是为了去类比表内资产的notionprincipal吧

2023-07-25 23:13 1 · 回答

NO.PZ2019070901000086 问题如下 Therivatives book of internationbank contains $300 millionofnotionvalue of interest rate swaps with $100 million eahavingremaining maturity of 0.5, 1.5 an2.5 years. Their market value is $30 million.The bookalso h$300 million of foreign exchange swaps with a similmaturity profile ana market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent.Calculate the cret equivalent amount Current Exposure Metho A.18.5 million B.42million C.28 million 35 million B is correct.考点Risk Charge for rivativesUnrthe currentexposure metho the cret equivalentamount woulbe: 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

2023-04-07 18:53 1 · 回答