Matcha
2020-03-05 23:07老師好，這道題的解析沒有看懂?？煞衤闊┚唧w講解一下，謝謝。 BNP Paribas has just entered into a plain-vanilla interest-rate swap as a pay-fixed counterparty. Credit Agricole is the receive-fixed counterparty in the same swap. The forward spot curve is upward-sloping. If LIBOR starts trending down and the forward spot curve flattens, the credit risk from the swap will: A Increase only for BNP Paribas B Increase only for Credit Agricole C Decrease for both BNP Paribas and Credit Agricole D Increase for both BNP Paribas and Credit Agricole
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
Cindy助教
2020-03-06 18:00
該回答已被題主采納
同學(xué)你好，這道題考察的是浮動(dòng)與固定利率之間的互換，BNP Paribas 支付固定利率，pay-fixed.接受浮動(dòng)利率。而 Credit Agricole接受固定利率，receive-fixed，支付浮動(dòng)利率，現(xiàn)在市場的大環(huán)境是利率下降。即 LIBOR starts trending down ，那么對(duì)于支付浮動(dòng)利率的一方，是有好處的，即這個(gè)對(duì)Credit Agricole是有好處的，對(duì)于接受浮動(dòng)利率的一方，是有虧損的，即對(duì)BNP Paribas是有壞處的，誰賺錢誰就面臨著信用風(fēng)險(xiǎn)，因此是Credit Agricole是面臨信用風(fēng)險(xiǎn)的
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