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我们 · 2021年03月11日

题目不是很理解

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000048

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，这个题的第一句话，意思是这里有3个interest rate swap ，分别是0.5，1，2年到期？那300million指的是什么呢？为什么里面没有用到这个数字？

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2 个答案

品职答疑小助手雍 · 2021年04月08日

嗨，从没放弃的小努力你好：


那个INT()是向下取整的意思

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

品职答疑小助手雍 · 2021年03月11日

嗨，爱思考的PZer你好：


对，第一句话说的是有3个IRS，分别三个期限到期，每个100million（总共300,当然300这个数字用不到）。外汇互换也是如此。

然后就以每个的本金100million来算CEA，参考对应的factor如下图：

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努力的时光都是限量版，加油！

临江仙 · 2021年04月07日

这里三年代入，应该是3%吧。

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