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标题: [ 2009 FRM Sample Exam ] Quantitative Analysis Q16 [打印本页]

作者: lalamei 时间: 2009-6-13 11:05 标题: [ 2009 FRM Sample Exam ] Quantitative Analysis Q16

16. A credit loss on market-driven instruments such as swaps and forwards arises if:

A. Market rates move in your favor

B. Market rates move against you

C. Market rates move against and the counterparty defaults

D. Market rates move in your favor and the counterparty defaults

作者: lalamei 时间: 2009-6-13 11:05

Correct answer is Dfficeffice" />

A is incorrect ? credit loss will not arise in the absence of counterparty defaulting.

B is incorrect ? credit loss will not arise due to market rates move out of your favour.

C is incorrect ? credit loss will not arise due to market rates move out of your favour. Whether counterparty defaults is irrelevant.

D is correct ? credit loss will arise due to the combination of rates move in your favour and counterparty defaults (condition for credit loss)

作者: lumi 时间: 2009-7-16 15:26

谢谢

作者: wuna 时间: 2009-7-31 16:28

顶

作者: Babul 时间: 2009-9-5 15:05

非常感谢

作者: alexbao 时间: 2010-3-9 15:07

3x3x3x3x3x3x3x3x3x

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