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《Market Risk Measurement and Management》精选解析II

发表时间:2017-11-03 15:57
作者:FRM考试网
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A risk manager is asked to explain funding valuation adjustment(FVA)to senior managers who are unfamiliar with the valuation of derivative portfolios.Which of the statements below is correct regarding FVA?
 
A.FVA is a fair value adjustment for counterparty credit risk and is calculated at portfolio level.
 
B.FVA involves the quantification of counterparty default probability and expected LGD.
 
C.FVA adjusts for impact of firm’s own credit risk on the derivative portfolio’s carrying value.
 
D.FVA accounts for the firm’s funding cost associated with uncollateralized derivatives.
 
 
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Answer:D
 
In order to recover the average funding cost assessed to a derivatives trade,a dealer will make a FVA.The FVA is an adjustment made by the dealer,which allows for the recovery of average funding costs for any transactions that are uncollateralized.
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报名、考试时间

2018年05月2018年11月
报名时间 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.30.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年06月28日(周四)
报名时间2 第一阶段:2018.05.1~07.31
第二阶段:2018.08.01~08.31
第三阶段:2018.09.01~10.15
考试时间 2018年11月17日(周六)
成绩查询 2019年01月03日(周四)
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