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发表于 2010-4-22 11:18 | 只看该作者

Reading 61: Swap Markets and Contracts-LOS i, (Part 1) 习题精

2010, potential, between, current, center
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: Swap Markets and Contracts

LOS i, (Part 1): Evaluate swap credit risk for each party and during the life of the swap and distinguish between current credit risk and potential credit risk.

 

 

 

Current and potential credit risk in a swap are:

A)
 equal at all times over the term of a swap.
B)
 not equal at the inception of the swap.
C)
 greatest between payment dates.


 

Current credit risk is the risk of not receiving a payment currently due, since there is none at the inception of the swap, current credit risk is zero. Potential credit risk is the risk that payments possibly due in the future will not be made.

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土豆妮

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2#
发表于 2010-4-22 11:18 | 只看该作者

Compared to an equity swap, a currency swap has credit risk that is:

A)
 greater, earlier in the swap.
B)
 greater, later in the swap.
C)
 approximately the same during the life of the swap.


A currency swap has a final exchange of principal, moving the maximum credit risk later in the life of the swap.

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土豆妮

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3#
发表于 2010-4-22 11:19 | 只看该作者

The credit risk of an interest-rate swap is greatest:

A)
 at the middle of the term.
B)
 just before the final payment must be made.
C)
 late in the term.


The credit risk in an interest-rate swap is greatest at the middle of the swap.

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