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小太阳 · 2023年11月23日

老师,请问PFE这道题怎么理解

NO.PZ2023101601000064

问题如下:

The chart below shows three exposure profiles, where the exposure metric is the potential future exposure (PFE): PFE of an interest rate swap (IRS), PFE of a foreign exchange (FX) forward contract, and PFE of a cross-currency swap. Also plotted is the average PFE of the interest rate swap, where "average PFE" is what Jorion calls the average worst credit exposure (AWCE). Which position's (instrument's) exposure profile is most likely the uppermost, concave plot line?

选项:

A.

PFE of interest rate swap

B.

PFE of foreign exchange (FX) contract

C.

PFE of cross-currency swap

D.

Average PFE of interest rate swap

解释:

PFE of cross-currency swap, which combines the exposure of an interest rate swap and the FX forward. The dotted must be the average PFE (aka, AWCE) since it is a flat line.

老师您好,请问这是哪个知识点里面的内容呀?可以解释一下这道题嘛?谢谢老师

1 个答案

李坏_品职助教 · 2023年11月23日

嗨,爱思考的PZer你好:


这道题问的是不同产品的PFE图形,哪一个产品最有可能是在最上面那条线?

interest rate swap的PFE应该是先上去再下去的图形:

cross currency swap既有利率互换的敞口,又有外汇远期的敞口,他的PFE是处在最上面的,所以选C。


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