问题如下:
Jemis Fund Management Inc.(Jemis) is a mutual fund company that frequently trades interest rate swaps. One of the swaps currently outstanding has a net present value (NPV) of $2 million in Jemis' favor. According to Jemis, the $2 million represents its potential loss in the event of the counterparty's default. Which of the following terms best describes this amount?
选项: Exposure at default.
Recovery.
C.Expected loss.
D.Loss given default.
解释:
Exposure at default (exposure) is the potential amount lenders would lose in the event of a borrower’s default. Exposure for interest rate swaps is the NPV of the swap. Loss given default (LGD) is the amount of creditor loss in the event that a default does occur, and is calculated as the exposure less recovery. The fraction of exposure not lost at default is recovery. Expected loss is the expected value of the credit loss, and is a factor of the probability of default and LGD.
题干中说:According to Jemis, the $2 million represents its potential loss in the event of the counterparty's default.
不就是说这个2million是在对手方违约时的potential loss吗,这个我理解就是Loss given default的含义呀,也就是说一旦违约就一分都拿不回来了,RR=0