押卷的53題，還是不明白，可否再詳細(xì)說一次。53. A firm has entered into a USD 20 million total return swap on the NASDAQ 100 index as the index payer with ABC Corporation, which will pay 1-year LIBOR ＋ 2.5%. The contract will last 1 year, and cash flows will be exchanged annually. Suppose the NASDAQ 100 Index is currently at 2,900 and LIBOR is 1.25%. The firm conducts a stress test on this total return swap using the following scenario: NASDAQ 100 in 1 year: 3,625 LIBOR in 1 year: 0.50% For this scenario, what is the firm’s net cash flow in year 1?
Is CCP for exchange or for OTC market only?
麻煩老師講下這個(gè)題
請(qǐng)老師解答，謝謝！
請(qǐng)老師解答，謝謝！
老師好，56題違約概率能不能用PD=CS/LR*(1＋YTM)解釋，就是ytm上漲了使pd下降了？
1.notes中有這么一句話：CVA is a cost to the conuterparty that bears a greater propensity，需要怎么理解呢？為什么不是對(duì)于party來說是個(gè)cost 呢？ 2.關(guān)于考點(diǎn)中的impact on changes in the credit spread and recovery rate的內(nèi)容需要掌握么？我看課堂內(nèi)容并沒有涉及
能講解下該題以及所對(duì)應(yīng)的知識(shí)點(diǎn)嗎？
請(qǐng)計(jì)算這道題每個(gè)選項(xiàng)的正確數(shù)值，及計(jì)算過程
請(qǐng)解釋一下這道題
煩請(qǐng)?jiān)敿?xì)推導(dǎo)下第二個(gè)式子是如何推到第三個(gè)式子的，謝謝
債券保價(jià)不是凈價(jià)嗎，也不包含應(yīng)計(jì)利息的啊
已知兩個(gè)資產(chǎn)各自違約概率，怎么求聯(lián)合違約概率
UL和VAR有什么區(qū)別？
Bond為什么不顯示上升的地方呢？只顯示到期到0，loan為什么下降到80%？
程寶問答
金程問答