Which of the following statements is not correct regarding total return swaps (TRS)? A A TRS is designed to mirror the return on an underlying asset like a loan, stock, or even a portfolio of assets. B The payer pays any depreciation in the underlying asset to the receiver C The payer pays any dividends or interest received to the receiver. D The receiver is creating a synthetic long position in the underlying 请问老师选项a. TRS和CLN的difference之一是CLN可以是一篮子资产但TRS总收益互换不可以，所以请问老师a提到了很多资产的portfolio，我觉得感觉a也是不对的，TRS只能针对一个asset不是吗？

请问下这个知识点今年还有吗，没有在基础班讲义上找到

I have below questions that I don't understand. It is hoped that you can help solve these questions Thanks. Assume a bank’s 10-day 99% confidence level var is 1 million. The HO is var model is accurate. 25 exceptions are observed out of 1000 samples. a. var model is accurate but risk type 1 error b. var model is accurate but risk type 2 error c. var model is bad but risk type 1 error d. var model is bad but risk type 2 error A portfolio alpha is 1.24% and the standard error of alpha is 0.1278%. the probability of observing such a large alpha is only 1%. Now calculate t-statistic, a. t = 9.7, accept b. t = 0.7, reject besides, for revision, historical var is n＋1 ? the 6th worst outcome of 100 sample? and expected shortfall is var eg 95% of 100 samples = worst 5 outcomes / 5 ?

老师，您再看看答案？3.5-3=2-0.5？？？

感觉答案有问题，B项的low percentile的意思可能不是低百分比，而是小概率，有点极端情况的意思。C项描述的不应该是EPE吗，EE是point value吧

D选项的PFE横轴是point time上的gain/loss，所以PFE只是一个时点上的值吧，并不是一段时间的potential loss，不应该随着时间而变化吗，感觉这题ABCD都对呀

请问老师The approximation of credit spread = (1 – RR) × PD. This implies ●ABC: 200 bps = (1- RR)/(10%), so RR=80% ●DEF: 300 bps =(1 - RR)/(20%), so RR=85% 答案的公式到底是乘以PD 还是除以PD没看懂。 而且视频讲解完全看不了，请问网校目前是否存在系统故障问题？ 好多题的答疑目前都看不了

老师能解释下什么是letters of credit 吗？

老师您好，A选项中exception出现的频率不应该等于significance level吗？为什么A是对的？

请问老师，如果这道题是问用rf进行估值，PD是不是随着rf的提升而提升？