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喜欢wyb的搬砖工 · 2020年07月17日

问一道题：NO.PZ2016072602000048 [ FRM II ]

  1. FRM II
  2. Basel Accord

问题如下：

Thederivatives book of an international bank contains $300 millionofnotional value of interest rate swaps with $100 million each havingremaining maturity of 0.5, 1.5 and 2.5 years. Their market value is $30 million.The bookalso has $300 million of foreign exchange swaps with a similar maturity profile and a market value of -$10 million.All counterpartiesare private corporations, so the risk weight is 100 percent. Calculate the creditequivalent amount under the originalexposure method.

选项：

A.

$18.5million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Undertheoriginal exposure method, it would be:

CEA=0.5%x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million

还是没明白答案，为什么有2个2%，对应的是哪种衍生品？

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已采纳答案

小刘_品职助教 · 2020年07月18日

同学你好，

可以看一下下面的这个图，前一个2% 对应的是2.5年的interest swap。后一个2%对应的0.5年的foreign exchange swap

wonbinlit · 2021年02月02日

这个表要记住么？？？

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