Rachel
2019-10-25 23:32老師，請(qǐng)問(wèn)counterparty credit risk第二點(diǎn)說(shuō)的是什么意思？liquidity risk說(shuō)的是什么意思？
所屬：CFA Level III 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
2個(gè)回答
Chris Lan助教
2019-10-28 09:16
該回答已被題主采納
同學(xué)你好
這句話說(shuō)，在美國(guó)市場(chǎng)上的一個(gè)歷史情況。對(duì)于swap來(lái)說(shuō)，對(duì)手方風(fēng)險(xiǎn)是由對(duì)手方風(fēng)險(xiǎn)本身和利率風(fēng)險(xiǎn)聯(lián)合體現(xiàn)的，當(dāng)利率低或高的時(shí)候swap的估值會(huì)受到影響，從而影響其違約概率。
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追問(wèn)
老師，liquidty risk 這點(diǎn)說(shuō)的是什么意思？
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追答
同學(xué)你好，流動(dòng)性風(fēng)險(xiǎn)這句話說(shuō)的比較繞，本質(zhì)上流動(dòng)性風(fēng)險(xiǎn)就是一買(mǎi)就漲，一賣(mài)就跌，想買(mǎi)買(mǎi)不到，想賣(mài)賣(mài)不出。無(wú)論你是主動(dòng)管理還是被動(dòng)管理都要注意這個(gè)問(wèn)題。因?yàn)闊o(wú)論你主動(dòng)還是被動(dòng)你都要進(jìn)行交易，只要交易就受流動(dòng)性風(fēng)險(xiǎn)影響。
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Tom助教
2019-10-28 14:12該回答已被題主采納
Counterparty credit risk is a concern if the interest rate swap overlays are uncollateralized, as was common before the 2008–2009 financial crisis. Suppose that the interest rate swap portrayed in Exhibit 15 does not have a collateral agreement, or Credit Support Annex (CSA), to the standard International Swaps and Derivatives Association (ISDA) contract. The credit risk facing the pension plan is that the swap dealer defaults at a time when the replacement swap fixed rate is below 4.16%. In the same manner, the credit risk facing the dealer is that the pension plan defaults at the time when the market rate on a comparable swap is above 4.16%. Therefore, credit risk entails the joint
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