倪同學(xué)
2022-11-03 13:13老師好，強(qiáng)化班講義81頁rwa下面有三種資產(chǎn)的分類：on-balance\off-balance\over-the-counter，但ppt第82頁只寫了前兩種的 計算，請問第三種over-the-counter怎么計算
所屬：FRM Part II > Operational Risk and Resiliency 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
姚奕助教
2022-11-08 15:32
該回答已被題主采納
Risk Weights for Off-Balance-Sheet Items (over-the-counter derivative，such as an interest rate swap or a forward contract）
first：Credit equivalent amount= Max(V, 0) + αL，where α is determined by the nature of the asset（注意看，公式分兩部分，第一部分是衍生品合約價值和0取大者，理由很簡單，在信用風(fēng)險中學(xué)過，只有正值合約才會擔(dān)心交易對手違約，第二部分直接在名義本金L上乘以一個比例系數(shù)α，簡單粗暴這算一部分金額）
second：Risk-weighted asset can be calculated by multiplying credit equivalent amount with risk weight.
The risk weights are similar to Risk Weights for On-Balance-Sheet Items except that the risk weight for a corporation is 0.5 rather than 1.0
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