NO.PZ2019070901000086
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 by Current Exposure Method.
选项:
A. 18.5 million
B. 42
million
C. 28 million
D. 35 million
解释:
B is correct.
考点:Risk Charge for derivatives
Under the current exposure method, the credit equivalent amount would be:
CEA=30+ 0%× 100 + 0.5%×200 + 1%× 100 + 5%×200 = $42 million
请问 1、这个题里面的200是怎么得出的? 2、这个到期日分别是0.5,1.5,2.5。好像针对的都是 interest rate swap,为什么还会用到其他种类的系数呢