开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

yanan · 2024年10月04日

剩下两条线分别是什么,怎么区分呢

NO.PZ2024042601000072

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.

这个特征的内容在讲义什么地方,记不清楚了

1 个答案

pzqa27 · 2024年10月08日

嗨,爱思考的PZer你好:


最下面的线是IRS,中间的线是foreign exchange (FX) forward contract,最上面的线是 cross-currency swap

至于这些线怎么分析,怎么看,可以参考基础班的这俩个视频,如有疑问,我们可以进一步讨论。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 50

    浏览
相关问题