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yanan · 2024年10月04日

这几条线能再介绍下吗

NO.PZ2024042601000065

问题如下:

Refer to the chart below, which plots four lines over time.


Which of the following does the uppermost line most likely represent?

选项:

A.

Effective expected exposure

B.

Expected positive exposure

C.

Potential future exposure

D.

Maximum potential future exposure

解释:

Measures such as EE and EPE may underestimate exposure for short-dated transactions (since capital measurement horizons are typically 1-year) and not capture properly rollover risk (Chapter 3). For these reasons, the terms effective EE and effective EPE were introduced by the Basel Committee on Banking Supervision (2005). Effective EE is simply a non-decreasing EE. Effective EPE is the average of the effective EE.

图形中有颜色的几条线,以及怎么记忆,总是记混了

1 个答案
已采纳答案

pzqa27 · 2024年10月08日

嗨,爱思考的PZer你好:


这个图蓝色线是EE,黄色线是effective EE。具体每个线对应如下图所示。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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