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卡布达 · 2021年04月16日

d选项错在哪里

NO.PZ2016082405000107

问题如下:

Which of the following statements regarding counterparty risk and lending risk is correct?

选项:

A.

For an interest-rate swap, counterparty risk exists because default may occur at the end of the contract term.

B.

With counterparty risk, there is uncertainty as to which counterparty will have a negative mark-to-market value.

C.

Lending risk involves bilateral risks.

D.

With lending risk, the principal amount at risk is known with absolute certainty at the outset.

解释:

B With counterparty risk, there is uncertainty regarding which counterparty will have a negative MtM value. For an interest-rate swap, there is no counterparty risk at the end of the contract term because all payments required by the contract would have been made by then. With lending risk, only one party (unilateral) takes on risk. In addition, the principal amount at risk is known only with reasonable certainty at the outset because changes in interest rates, for example, will lead to some uncertainty.

看了解析还是不太明白 irs一开始的确是知道本金的金额 这点是绝对确定的呀

1 个答案

小刘_品职助教 · 2021年04月17日

同学你好,

lending risk和irs没有任何的关系,是指银行的贷款或者投资者投资债券这种面临的本金不能回收的风险(和交易对手风险相比他是单方面的)。在本金这方面,书上在描述时用的就是 degree of certainty。举了一个例子,比如以贷款为基础资产的abs,随着利率的改变,基础资产早偿之后本金也会随着变小。

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