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王垚 · 2020年09月18日

问一道题：NO.PZ2016072602000048

  1. FRM II
  2. Basel Accord

问题如下：

The derivatives book of an international bank contains $300 million of notional value of interest rate swaps with $100 million each having remaining maturity of 0.5, 1.5 and 2.5 years. Their market value is $30 million. The book also has $300 million of foreign exchange swaps with a similar maturity profile and a market value of -$10 million. All counterparties are private corporations, so the risk weight is 100 percent. Calculate the credit equivalent amount under the original exposure method.

选项：

A.

$18.5 million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Under the original exposure method, it would be:

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

老师您好 请问这道题不需要考虑netting的影响么？

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已采纳答案

袁园_品职助教 · 2020年09月18日

同学你好！

不考虑，因为ignore current market value

参考下面的讲义截图

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