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:
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A) |
equal at all times over the term of a swap. | |
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B) |
not equal at the inception of the swap. | |
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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. | 
发表于 2010-4-22 11:18
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