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Shuangshuang · 2024年08月01日

麻烦画图讲一下

NO.PZ2024042601000077

问题如下:

1.1 The exhibit below presents a summary of bilateral mark-to-market (MtM) trades for four counterparties. If netting agreements exist between all pairs of counterparties shown, what is the correct order of net exposure per counterparty, from lowest to highest? (Practice Exam)

选项:

A.

A – C – B – D

B.

A – D – C – B

C.

D – B – C – A

D.

B – C – D – A

解释:

The properly netted amounts are: For A: B = $0, C = $5, D = $0, for a sum of $5. For B: A = $0, C = $0, D = $8, for a sum of $8. For C: A = $0, B = $5, D = $1, for a sum of $6. For D: A = $9, B = $0, C = $0, for a sum of $9.

麻烦画图讲一下

1 个答案
已采纳答案

pzqa27 · 2024年08月02日

嗨,爱思考的PZer你好:


这个题在经典题里有讲解,我这里简单介绍一下好了,比如A,我们可以看到A和B一正一负刚好都是10,所以抵消了,也因此是0,A对C是10-5=5,A对D比较特殊,A对D有个净的负头寸,所以exposure是0.之后B,C,D就可以依次类推

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