标题: CF abd MV Risk [打印本页] 作者: LBriscoe 时间: 2011-7-13 11:46 标题: CF abd MV Risk
any good practice questions anyone came across related to market value and cash flow risk?
this is related to fixed and floating swaps. prime material for a bank IPS.作者: Valores 时间: 2011-7-13 11:47
Pm section of Schweser exam 3 vol. 1 had a question on this.作者: Darien 时间: 2011-7-13 11:47
jorgeam86 Wrote:
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> Pm section of Schweser exam 3 vol. 1 had a
> question on this.
That was one of the worst questions I have ever seen.
Edited 1 time(s). Last edit at Sunday, May 29, 2011 at 11:07AM by Paraguay.作者: Valores 时间: 2011-7-13 11:48
Paraguay Wrote:
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> jorgeam86 Wrote:
> --------------------------------------------------
> -----
> > Pm section of Schweser exam 3 vol. 1 had a
> > question on this.
>
> That was one of the worst questions I have ever
> seen.
>
> Selling a payer swaption actually creates both
> market and cash flow risk.
I know I re-read the question 3 times bc it didnt make any sense to sell the payer swaption.作者: oneboy 时间: 2011-7-13 11:49
so did y'all see any good questions then?作者: Windjammer 时间: 2011-7-13 11:49
Selling payer swaption creates cash flow and market risk. The only way to limit one or the other is to buy an option or enter a swap. Selling an option allows exercise by someone else at anytime creating both risks.
Edited 1 time(s). Last edit at Sunday, May 29, 2011 at 11:14AM by Paraguay.作者: Valores 时间: 2011-7-13 11:50
coolness. i wont break my head on this topic anymore
