NO.PZ2020011303000239
问题如下:
Why do banks tend to use KR01s calculated from spot rates?
选项:
解释:
They are used for (a) the new Basel rules for determining capital for market risk
为什么银行用spot rate来计算KR01?
1)监管机构要求,spot rate更能体现market risk;
2)根据CCPs,对计算初始保证金的利率的使用并不是很清晰。
而且par rate是swap rate不是更能反映market risk么?