Rachel2019-10-25 23:32:35
Rachel老师，请问counterparty credit risk第二点说的是什么意思？liquidity risk说的是什么意思？
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Chris Lan2019-10-28 09:16:40
Chris Lan同学你好
这句话说，在美国市场上的一个历史情况。对于swap来说，对手方风险是由对手方风险本身和利率风险联合体现的，当利率低或高的时候swap的估值会受到影响，从而影响其违约概率。
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老师，liquidty risk 这点说的是什么意思？
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同学你好，流动性风险这句话说的比较绕，本质上流动性风险就是一买就涨，一卖就跌，想买买不到，想卖卖不出。无论你是主动管理还是被动管理都要注意这个问题。因为无论你主动还是被动你都要进行交易，只要交易就受流动性风险影响。
Tom2019-10-28 14:12:12
TomCounterparty credit risk is a concern if the interest rate swap overlays are uncollateralized, as was common before the 2008–2009 financial crisis. Suppose that the interest rate swap portrayed in Exhibit 15 does not have a collateral agreement, or Credit Support Annex (CSA), to the standard International Swaps and Derivatives Association (ISDA) contract. The credit risk facing the pension plan is that the swap dealer defaults at a time when the replacement swap fixed rate is below 4.16%. In the same manner, the credit risk facing the dealer is that the pension plan defaults at the time when the market rate on a comparable swap is above 4.16%. Therefore, credit risk entails the joint
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