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hillock1122 · 2021年03月12日

这样理解对吗?

NO.PZ2016082406000053

问题如下:

BNP Paribas has just entered into a plain-vanilla interest-rate swap as a pay-fixed counterparty. Credit Agricole is the receive-fixed counterparty in the same swap. The forward spot curve is upward-sloping. If LIBOR starts trending down and the forward spot curve flattens, the credit risk from the swap will:

选项:

A.

Increase only for BNP Paribas

B.

Increase only for Credit Agricole

C.

Decrease for both BNP Paribas and Credit Agricole

D.

Increase for both BNP Paribas and Credit Agricole

解释:

ANSWER: B

With an upward-sloping term structure, the fixed payer has greater credit- exposure. It receives less initially, but receives more later. This backloading of payments increases credit exposure. Conversely, if the forward curve flattens, the fixed payer (i.e., BNP Paribas) has less credit exposure. Credit Agricole must have greater credit exposure. Alternatively, if LIBOR drifts down, BNP will have to pay more, and its counterparty will have greater credit exposure.

BNP是支固定收浮动,远期利率降低,BNP的盈利减少,所以exposure变小,同理CA的变大。

1 个答案

品职答疑小助手雍 · 2021年03月13日

嗨,努力学习的PZer你好:


IRS最初value是零的,所以互换对于BNP的价值变小,亏钱。赚钱一方有会面对亏钱一方违约的信用风险,也就是Credit Agricole赚钱了,面临信用风险。

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NO.PZ2016082406000053 BNP Paribhjust entereinto a plain-vanilla interest-rate swa pay-fixecounterparty. Cret Agricole is the receive-fixecounterparty in the same swap. The forwarspot curve is upwarsloping. If LIBOR starts trenng wn anthe forwarspot curve flattens, the cret risk from the swwill: Increase only for BNP ParibIncrease only for Cret Agricole crease for both BNP ParibanCret Agricole Increase for both BNP ParibanCret Agricole ANSWER: B With upwarsloping term structure, the fixepayer hgreater cret- exposure. It receives less initially, but receives more later. This backloang of payments increases cret exposure. Conversely, if the forwarcurve flattens, the fixepayer (i.e., BNP Paribas) hless cret exposure. Cret Agricole must have greater cret exposure. Alternatively, if LIBOR ifts wn, BNP will have to pmore, anits counterparty will have greater cret exposure. ​bnp收浮动 利率下降 cf上升 不应该是bnp赚钱所以有敞口吗

2021-04-14 23:22 2 · 回答

     老师好,收益率曲线变得向平,未来利率变低,应该是swreceiver 赚钱(bnp赚钱),bnp的对手方风险上升,选a。这样的逻辑哪里错了?

2019-10-28 19:59 3 · 回答

     老师好, 从Cret Agricole 的角度我想不明白了,如果 LIBOR ift wn 为什么BNP will have to pmore? 

2019-05-09 15:02 1 · 回答

     这道题目一开始说forwarrate curve是up slopping的,后来又说是flatten。所以这个答案是指forwarrate curve在flatten的情况下,谁有exposure吗?

2018-08-25 18:48 1 · 回答