NO.PZ2020033002000052
问题如下：
Which of the following five-year swaps has the highest potential future exposure?
选项：
A.
A cross-currency swap after three years
B.
A cross-currency swap after two years
C.
An interest rate swap after two years
D.
An interest rate swap after three years
解释：
A is correct.
考点：Credit exposure
解析：
Interest swap 无本金交换，所以exposure 通常低于 currency swap
对于 Currency swap，越靠近maturity，exposure越大。A过了3年了，只剩下2年，比B离到期近，所以A的 PFE 大。
老师，货币互换在没到期的时候只交换利息，而利率互换每期都只交换利率，不涉及交换本金的货币互换风险敞口为什么比期中交换利率的利率互换（利率互换在T/3）风险敞口大呢？
