Matcha2020-03-05 23:07:48
Matcha老师好，这道题的解析没有看懂。可否麻烦具体讲解一下，谢谢。 BNP Paribas has just entered into a plain-vanilla interest-rate swap as a pay-fixed counterparty. Credit Agricole is the receive-fixed counterparty in the same swap. The forward spot curve is upward-sloping. If LIBOR starts trending down and the forward spot curve flattens, the credit risk from the swap will: A Increase only for BNP Paribas B Increase only for Credit Agricole C Decrease for both BNP Paribas and Credit Agricole D Increase for both BNP Paribas and Credit Agricole
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Cindy2020-03-06 18:00:42
Cindy同学你好，这道题考察的是浮动与固定利率之间的互换，BNP Paribas 支付固定利率，pay-fixed.接受浮动利率。而 Credit Agricole接受固定利率，receive-fixed，支付浮动利率，现在市场的大环境是利率下降。即 LIBOR starts trending down ，那么对于支付浮动利率的一方，是有好处的，即这个对Credit Agricole是有好处的，对于接受浮动利率的一方，是有亏损的，即对BNP Paribas是有坏处的，谁赚钱谁就面临着信用风险，因此是Credit Agricole是面临信用风险的
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