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186****8680 · 2023年07月26日

老师，那几种敞口是怎么分出来的呢

  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

老师，那几种敞口是怎么分出来的呢

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2 个答案

李坏_品职助教 · 2023年11月11日

嗨，努力学习的PZer你好：


题目条件直接给出了market value: Their market value is $30 million，还有“foreign exchange swaps with a similar maturity profile and a market value of -$10 million.” 依照题目条件来判断是否大于0。


max(Value,0)不需要乘以系数。

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努力的时光都是限量版，加油！

李坏_品职助教 · 2023年07月26日

嗨，爱思考的PZer你好：


按照基础班讲义上面这个表，interest rate swap在第二列，0.5年的100million是0*100, 1.5年的100million是0.5%*100, 2.5年的100million是0.5%*100。


foreign exchange swap在第三列，0.5年的100million是1%*100,1.5年的100million是5%*100, 2.5年的100million是5%*100。


最后加起来就是0%× 100 + 0.5%×200 + 1%× 100 + 5%×200，不要忘了上面的max(Value, 0)，大于0的value就加上，小于0的value要忽略。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

frm二级过过过！ · 2023年11月11日

不要忘了上面的max(Value, 0)，大于0的value就加上，小于0的value要忽略。 ------------------------------- 这里value怎么看是否大于0.加上是直接数值加上去就好了吗？需要乘以什么系数吗？

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