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Cherry · 2023年10月23日

B为什么对？asset value 增加不是因为interest rate降低？降低那么receiver就会收到更少市场利率啊

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000087

问题如下：

Regarding total revenue swaps (TRS), which of the following statements is not correct?

选项：

A.

When the TRS payer does not own the underlying asset, the cash flow of the swap can be viewed as the cash flow of short position in the underlying

B.

The receiver of TRS receives the cash flow and benefits if the value of the reference asset rises.

C.

The benefits of TRSs are similar to those of CDSs. For TRS, both credit risk and market risk are transferred, while for CDSs, only credit risk is transferred.

D.

The receiver is creating a synthetic short position in the underlying asset.

解释：

D is correct.

考点：Total return swaps

解析：receiver相当于一个合成的这个underlying asset的long方，而不是short 方所以D错。

B为什么对？asset value 增加不是因为interest rate降低？降低那么receiver就会收到更少市场利率啊

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1 个答案

品职答疑小助手雍 · 2023年10月24日

同学你好，没明白你为什么会考虑市场利率，TRS的receiver就是收到underlying asset的价值增加，付出约定的利率即可。

因此underlying asset价值的增加（就跟股票为什么上涨一样，不需要其他理由）就会给revceiver带来收益。

receiver收的不是市场利率。

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NO.PZ2020033003000087 老师您好，我想问下A的前半句，Totreturn的payer 为啥不拥有 unrlying asset ?

2021-11-19 15:30 1 · 回答

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2021-08-11 22:48 2 · 回答