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seven-zhu · 2021年08月30日

No.PZ2020033003000078 (选择题)

  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。

能解释下1和3为什么正确吗，没太理解

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2 个答案

李坏_品职助教 · 2021年10月28日

嗨，爱思考的PZer你好：


I说的是支付日元，收取美元。


III里面，作为收取固定利息的一方理论上是赚钱的。当swap rate下降时，对手方（收取浮动利息）收益在下降，但还要支付给我们固定利息，因此对手方违约的可能性变大了。我们账面上的利润变大了，但是对手方违约的可能性提高了，所以counterpayty risk exposure变大了。


之前的解释可能有些问题，抱歉~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

李坏_品职助教 · 2021年08月31日

嗨，努力学习的PZer你好：


I里面说的是日本银行支付日元（Yen）,付出美元。如果日元兑美元升值，比如说原来是1美元=100日元，现在变成了1美元=50日元。

日本银行支付的日元数额是固定的，每次都是付出100日元，一开始他只能收到1美元，但是随着日元升值，每次可以收到2美元，所以是有gain的。


III里面，欧元的swap rate下跌（可以理解为欧元贬值），对于收取固定利率的交易者来说，因为币值下跌，收取到的payoff也在贬值，所以风险敞口增加了。此时欧元区Italy的金融机构可能会因为经济情况差而有更高的违约风险。

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加油吧，让我们一起遇见更好的自己！

Shell_eyyy · 2021年10月28日

I是说支付日元，收到美元吗？ III里为什么swap rate下降，收固定方亏钱？但是II里是“swap rate上升时收固定方亏钱”

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