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我们 · 2021年03月25日

这个题没懂

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082405000063

问题如下：

Which of the following security types will most likely result in a peaked shape for the exposure profile represented by potential future exposure (PFE)?

选项：

A.

Long option position.

B.

Foreign exchange product.

C.

10-year loan with a floating rate payment.

D.

Interest rate Swap

解释：

D Exposure profiles of swaps are typically characterized by the peaked shape that results from balancing future uncertainties over payments and roll-off risk of swap payments over time.

老师，麻烦讲解一下这个题吧

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1 个答案

小刘_品职助教 · 2021年03月25日

同学你好，

这题考察的比较偏，是想问A、B、C、D四个金融产品的PFE的形状是一个有峰的，就是会在中间的某一段最高，之后会缓慢下降。这四个金融产品的PFE分别是这样的

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