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wawjbng · 2021年08月11日

请问怎么理解解析，感觉绕不过来

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033003000087

问题如下：

Regarding total revenue swaps (TRS), which of the following statements is not correct?

选项：

A.

When the TRS payer does not own the underlying asset, the cash flow of the swap can be viewed as the cash flow of short position in the underlying

B.

The receiver of TRS receives the cash flow and benefits if the value of the reference asset rises.

C.

The benefits of TRSs are similar to those of CDSs. For TRS, both credit risk and market risk are transferred, while for CDSs, only credit risk is transferred.

D.

The receiver is creating a synthetic short position in the underlying asset.

解释：

D is correct.

考点：Total return swaps

解析：receiver相当于一个合成的这个underlying asset的long方，而不是short 方所以D错。

实在没理解，想了半天，谢谢老师
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2 个答案

品职答疑小助手雍 · 2021年09月06日

你记错了，TRS跟你有没有underlying资产没关系。

TRS这笔交易就是直接交换underlying的收益和一个固定收益，题目表述也没有问题。receiver收到underlying的收益付出固定收益，所以可以用来合成一个underlying的long的头寸。

品职答疑小助手雍 · 2021年08月11日

嗨，爱思考的PZer你好：


receiver就是收到underlying收益（付出固定利率）的一方，那就相当于underlying的long方了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

magico · 2021年09月06日

感觉好像不太对吧。 Total return Swap，不就是我拥有一个资产，然后我把这个资产的收益率拿出来换别的资产收益吗？那么 怎么就变成 long underlying asset? 还是题目本身表述的不够清晰？是不是应该表述为 counterparty underlying asset 比较严谨？

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NO.PZ2020033003000087 老师您好，我想问下A的前半句，Totreturn的payer 为啥不拥有 unrlying asset ?

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