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沉睡宝宝鸭 · 2024年10月27日

请问这道题为什么不用0.4+0.6*netting/non-netting 这个调整呢

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000048

问题如下：

The derivatives book of an international bank contains $300 million of notional value of interest rate swaps with $100 million each having remaining maturity of 0.5, 1.5 and 2.5 years. Their market value is $30 million. The book also has $300 million of foreign exchange swaps with a similar maturity profile and a market value of -$10 million. All counterparties are private corporations, so the risk weight is 100 percent. Calculate the credit equivalent amount under the original exposure method.

选项：

A.

$18.5 million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Under the original exposure method, it would be:

CEA=0.5% x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million

如题

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1 个答案

李坏_品职助教 · 2024年10月27日

嗨，努力学习的PZer你好：


题目最后要求用original exposure method，而且只涉及利率互换与货币互换：


你说的那个调整法是用于多个对手netting的，我们需要知道具体和每一个对手交易的value，才能知道如何netting：


但是你提问的这个题目条件只是告诉我们总的market value，所以无法使用netting调整法。


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努力的时光都是限量版，加油！

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