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LIM · 2019年04月20日

问一道题:NO.PZ2016082405000063 [ 2019.05 FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

问题有点没看明白 是问哪种产品会出现中间凸起的峰值吗
1 个答案

品职答疑小助手雍 · 2019年04月20日

同学你好,题目问的是从期初到期末,中间有敞口峰值的是哪个。

D不完全准确,确切的说是interest swap才会有这种情况,因为swap最初敞口肯定为0,由于利率互换不交换本金,所以到期的敞口也为零,整体的过程中,最开始不容易违约,但是到期间利率变化导致一方出现比较大的盈利时,敞口最大最容易发生违约,但是到期末时的想法就是“就剩最后几期了,这时候违约造成的声誉之类的其他影响会使违约得不偿失”,所以期末也一般不怎么违约。所以期间就会有一个peak。

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