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wawjbng · 2021年08月11日

Swap rate

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000080

问题如下：

Which of the following statements is correct?

I. The Japanese banks delivered yen (funded by yen) and achieved USD exposure by using swap, the Japanese yen experienced a significant appreciation against the USD, Japanese banks achieved considerable gain.

II. When the swap rate increases, the fixed-rate receivers experience a gain.

III. When the euro swap rate decreased, as fixed-rate receiver the counterparty risk exposure increased. The financial institutions in Italy had increased probabilities of default due to the poor economic conditions.

选项：

A.

I only.

B. II only.

C.

I and II.

D.

I and III.

解释：

D is correct.

考点：Wrong-Way Risk Vs. Right-Way Risk

解析：swap rate上升时收固定方亏钱，II错。

Swap rate指互换中的固定利率，如果升了，收固定一方为什么是亏钱呢
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1 个答案

品职答疑小助手雍 · 2021年08月11日

嗨，努力学习的PZer你好：


swap开始了之后固定利率就不会变了。

这句话的意思是此时市场上swap rate上升了（直接理解成市场上利率上升了就行的），对已经存在的swap的收固定方有什么影响。

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