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zjcjrd · 2019年04月23日

问一道题:NO.PZ2016082405000023 [ FRM II ]

为什么不是EL?如果违约的话潜在损失是2million,表述的意思不就是预计损失2million么?问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

品职答疑小助手雍 · 2019年04月23日

同学你好,题目描述的是对手方违约时的损失,问的其实是处于counterparty risk之下的exposure(NPV)。

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NO.PZ2016082405000023 Jemis FunManagement Inc.(Jemis) is a mutufuncompany thfrequently tras interest rate swaps. One of the swaps currently outstanng ha net present value (NPV) of $2 million in Jemis' favor. Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault. Whiof the following terms best scribes this amount? Exposure fault. Recovery. Expecteloss. Loss given fault. Exposure fault (exposure) is the potentiamount lenrs woullose in the event of a borrower’s fault. Exposure for interest rate swaps is the NPV of the swap. Loss given fault (LG is the amount of cretor loss in the event tha fault es occur, anis calculatethe exposure less recovery. The fraction of exposure not lost fault is recovery. Expecteloss is the expectevalue of the cret loss, anis a factor of the probability of fault anLG Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault题目不是说了吗,in-the-event-fo-fault,不就是LG意思吗,那不然这个LG怎么描述?

2021-02-21 15:04 1 · 回答

Jemis FunManagement Inc.(Jemis) is a mutufuncompany thfrequently tras interest rate swaps. One of the swaps currently outstanng ha net present value (NPV) of $2 million in Jemis' favor. Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault. Whiof the following terms best scribes this amount? Exposure fault. Recovery. Expecteloss. Loss given fault. Exposure fault (exposure) is the potentiamount lenrs woullose in the event of a borrower’s fault. Exposure for interest rate swaps is the NPV of the swap. Loss given fault (LG is the amount of cretor loss in the event tha fault es occur, anis calculatethe exposure less recovery. The fraction of exposure not lost fault is recovery. Expecteloss is the expectevalue of the cret loss, anis a factor of the probability of fault anLG 涉及到NPV的就是exposure吗?请问怎么区分exposure fault,和 LG

2020-04-26 20:58 1 · 回答

Jemis FunManagement Inc.(Jemis) is a mutufuncompany thfrequently tras interest rate swaps. One of the swaps currently outstanng ha net present value (NPV) of $2 million in Jemis' favor. Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault. Whiof the following terms best scribes this amount? Exposure fault. Recovery. Expecteloss. Loss given fault. Exposure fault (exposure) is the potentiamount lenrs woullose in the event of a borrower’s fault. Exposure for interest rate swaps is the NPV of the swap. Loss given fault (LG is the amount of cretor loss in the event tha fault es occur, anis calculatethe exposure less recovery. The fraction of exposure not lost fault is recovery. Expecteloss is the expectevalue of the cret loss, anis a factor of the probability of fault anLG 题干中说Accorng to Jemis, the $2 million represents its potentiloss in the event of the counterparty's fault. 不就是说这个2million是在对手方违约时的potentiloss吗,这个我理解就是Loss given fault的含义呀,也就是说一旦违约就一分都拿不回来了,RR=0

2020-02-23 03:40 1 · 回答

potenti loss不应该是亏损的时候大概有多少损失吗,觉对

2019-03-03 14:08 1 · 回答