CFA论坛 - Powered by Discuz! Board

标题: Reading 61: Swap Markets and Contracts-LOS i, (Part 2) 习题精 [打印本页]

作者: 土豆妮 时间: 2010-4-22 11:19 标题: [2010]Session 17-Reading 61: Swap Markets and Contracts-LOS i, (Part 2) 习题精

Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: Swap Markets and Contracts

LOS i, (Part 2): Illustrate how swap credit risk is reduced by both netting and marking to market.

Netting and marking to market are:

A)
ways to reduce the credit risk in swaps transactions.

B)
features of standardized futures contracts.

C)
essentially the same thing.

Netting and marking to market reduce the credit risk in swaps transactions and are often used with lower credit counterparties to lower potential credit risk.

作者: 土豆妮 时间: 2010-4-22 11:20

Under a netting agreement swap, credit risk is:

A)
reduced, except in the case of counterparty bankruptcy.

B)
unaffected.

C)
reduced with respect to a counterparty bankruptcy.

Under a netting agreement, swap credit risk is reduced with respect to a counterparty bankruptcy. Only the net difference in payments owed is at issue, compared to a situation where a party has a claim against the bankrupt firm's assets but has a liability to the bankrupt firm in the full amount of the gross payments owed to the firm on swaps.

作者: 土豆妮 时间: 2010-4-22 11:20

Credit risk in a swap can be reduced by all of the following EXCEPT:

A)
increasing the floating rate to account for credit risk.

B)
marking to market when a trigger point is reached.

C)
netting agreements.

Increasing the floating rate will not decrease the potential for default and may increase the amount at risk. Netting agreements and marking to market will reduce the amount of credit risk.

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)