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上小学 · 2023年10月04日

请问此题为什么这么解呢？乘以1，2 是什么意思呢？

  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

此题看不了明白，看了讲义还不明白，另外，啥是ADD ON FACTOR？此题目中给出的条件都怎么用呢？谢谢

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2 个答案

品职答疑小助手雍 · 2023年10月13日

exposure只是基础的那个数值，

add on factor是要额外加的数字，所以还是需要计算的。


我是建议把本身的value（或者说exposure），以及add on factor带来的增加分开来处理的，这样会好理解一些。

品职答疑小助手雍 · 2023年10月07日

同学你好，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。

只看讲义当然不一定能明白，但是听了课会发现何老师讲得已经很清楚了。

上小学 · 2023年10月09日

谢谢您的解释，但是从本题上看，300百万的IRS市场价值已经提供了，30百万，已经不需要再计算了。300百万的外汇掉期市场价值为负数，不需要加上。为什么还需要再计算呢？市场价值已经给出来了呀，就是EXPOSURE。300万的市场价值是负数，因此他的EXPOSURE更不需要加上了，没有EXPOSURE。 我个人判断根本不需要再计算EXPOSURE了，还烦请再看看，谢谢！

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