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vivian_zm · 2020年02月23日

问一道题:NO.PZ2016082405000023

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:

A.

Exposure at default.

B.

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

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orange品职答疑助手 · 2020年02月23日

同学你好,这题的2million是swap的净现值,也就是信用风险的敞口。问题是这个2million指的是什么。

LGD是指违约之后的损失,但是违约之后J公司还可能可以清偿获得一部分资产回收来挽回损失,所以LGD不一定就等于2million。


同学有疑惑主要就是对potential loss的理解吧。因为考试中没有明确的对这个potential loss有什么定义性的说明,这题中的potential loss我是单纯的看成Jemis口语化的对这个两万进行的解释。如果它是有RR=0的意思,那就应该是LGD。

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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

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?

2019-04-23 14:45 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