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我们 · 2021年03月11日

请问这个题什么意思

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
1 个答案

小刘_品职助教 · 2021年03月11日

同学你好,

这题的200其实是100+100;比如以第三项的200为例,因为1-5年的系数都是0.5%,所以就有100+100的头寸在这个区间,对应的就是200*0.5%

这里是有两个,一个是interest rate swap;另一个是foreign exchange swap,所以有两个不同的系数。


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