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410140980 · 2023年07月19日

Japanese banks delivered yen (funded by yen) and achieved USD ex

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000080

问题如下：

Which of the following statements is correct?

I. The Japanese banks delivered yen (funded by yen) and achieved USD exposure by using swap, the Japanese yen experienced a significant appreciation against the USD, Japanese banks achieved considerable gain.

II. When the swap rate increases, the fixed-rate receivers experience a gain.

III. When the euro swap rate decreased, as fixed-rate receiver the counterparty risk exposure increased. The financial institutions in Italy had increased probabilities of default due to the poor economic conditions.

选项：

A.

I only.

B.II only. C.

I and II.

D.

I and III.

解释：

D is correct.

考点：Wrong-Way Risk Vs. Right-Way Risk

解析：swap rate上升时收固定方亏钱，II错。

老师I表述当中日本银行通过互换合约支付日元收到美元，日元升值的时候，为什么会是gain呢？又没有说japan bank是pay fixed 一方

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已采纳答案

DD仔_品职助教 · 2023年07月20日

嗨，从没放弃的小努力你好：


同学你好，

这根fix还是float没关系呀，fix和float是利率互换，这个是外汇互换，日本银行将来要做的是收日元，还美元。日元升值了未来是会有gain的。

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