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seven-zhu · 2021年09月10日

如题

NO.PZ2019070901000086

问题如下:

The derivatives book of an international bank contains $300 million of notional value of interest rate swaps with $100 million each having remaining maturity of 0.5, 1.5 and 2.5 years. Their market value is $30 million. The book also has $300 million of foreign exchange swaps with a similar maturity profile and a market value of -$10 million. All counterparties are private corporations, so the risk weight is 100 percent.Calculate the credit equivalent amount by Current Exposure Method.

选项:

A.

18.5 million

B.

42 million

C.

28 million

D.

35 million

解释:

B is correct.

考点:Risk Charge for derivatives

Under the current exposure method, the credit equivalent amount would be:

CEA=30+ 0%× 100 + 0.5%×200 + 1%× 100 + 5%×200 = $42 million

All counterparties are private corporations, so the risk weight is 100 percent.

想问下题目这句话有什么含义吗,何老师视频里面好像没有讲这句话。如果变成80%,会对计算结果有什么影响吗

2 个答案
已采纳答案

李坏_品职助教 · 2021年09月11日

嗨,爱思考的PZer你好:


这道题考察的是current exposure计算credit equivalent amount。current exposure不需要考虑risk weight


如果让你用original exposure去计算的话,就得考虑weight了。就是最后求出来的结果要乘以risk weight

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

luqibz · 2021年12月02日

老师请问,current exposure最后不用CEA*RW吗?

李坏_品职助教 · 2021年12月02日

嗨,爱思考的PZer你好:


这道题在讲义P26有例题,计算方法在P23。题目要求用current exposure method去计算CEA, 因为交易对手都是private corporation,所以RW都是100%,等于不用考虑RW的影响。


直接用market value(或者0)加上各自的D,D就是按照表里面给出的,不同的swap对应不同的add-on factor,再乘以NP


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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