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