NO.PZ2016082406000054
问题如下:
If we assume that the value at risk (VAR) for the portfolio of trades with a given counterparty can be viewed as a measure of potential credit exposure, which of the following could not be used to decrease this credit exposure?
选项: A
netting agreement
Collateral
C.A credit derivative that pays out if the counterparty defaults
D.An offsetting trade with a different counterparty
解释:
ANSWER: D
An offsetting trade with a different party will provide no credit protection. If the first party defaults while the contract is in-the-money, there will be a credit- loss.
那么一个有抵押的产品,我们的敞口可以说是=正收益-抵押品价值吗,因为好像我们说到敞口,都是单单一个敞口,例如有1000的正收益,另外有700的抵押,那么我们会觉得说敞口就是1000,而不是说有了这个抵押,敞口就变成了1000-700=300这样?