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gongyin · 2021年11月27日

current expo method和 Original expo method

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000048

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 under the original exposure method.

选项：

A.

$18.5 million

B.

$42 million

C.

$35 million

D.

$26 million

解释：

A is correct.

Under the original exposure method, it would be:

CEA=0.5% x 100+1%× 100+2%×100+2%×100+5%×100 +8%×100 = $18.5 million

请问这两种方法计算的add on factor 的表格考试中会给出吗？ 还是需要记忆？谢谢！

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李坏_品职助教 · 2021年11月27日

嗨，从没放弃的小努力你好：


何老师的意思是掌握两种方法的计算逻辑即可，我理解是不需要记忆。

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努力的时光都是限量版，加油！

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