葛同學(xué)
2019-03-21 09:02Bank A, which is AAA rated, trades a 5-year interest rate swap (semi-annual payments) with Bank B, which is rated BBB. Because of Bank B's poor credit rating, Bank A is concerned about the 5-year exposure it is going to run because of the swap deal. Which of the following measures help mitigate Bank A's credit exposure to Bank B? Ⅰ.Negotiate a CSA with Bank B and efficiently manage the collateral management system Ⅱ.Execute the swap deal as a reset swap wherein the swap will be marked to market every six months Ⅲ.Execute the swap deal with a break clause in the third year Ⅳ.Decrease the frequency of coupon payments from semi-annual to annual 老師，是A付coupon給B吧？那減少付款頻率，不是降低exposure，為什么第四個(gè)不對(duì)呢
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Galina助教
2019-03-21 18:59
該回答已被題主采納
應(yīng)該是提高。利率互換是相互交換利息的呀。雙方都需要支付。
你可以用margin制度來理解，margin是逐日盯市的，就是及時(shí)把風(fēng)險(xiǎn)扼殺在搖籃里。
這里提高頻率就是本來半年總共付息60，現(xiàn)在變成每個(gè)月10塊，主要可以及時(shí)發(fā)現(xiàn)對(duì)手方的違約情況，而且即使中途違約，還是可以收到一些利息的。
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