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RyanR · 2023年11月14日

2.5年的factor怎么算？？

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000048

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 under the original exposure method.

选项：

A.

$18.5 million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Under the original exposure method, it would be:

CEA=0.5% x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million

1+1*int(m-1)取整不是3吗。。m-1=1.5 离2最近，1+2=3

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品职答疑小助手雍 · 2023年11月14日

同学你好，这题其实也是原版书的例题，书上也确实写得是和M-1最接近的整数。

但是根据原版书的算法和编程里int（）这个函数的情况，实际情况是向下取整。

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