求解protetial exposure

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Assume that you have entered into a fixed for floating interest rate swap that starts today and ends in six years, assume that the duration of your position is proportional to the time to maturity, also assume that all changes in the yeild curve are parallel shifts, and the volatility of interest rates is proportional to the square roof of time, when would the maximum potential exposure be reaced?

A In 2 months
B. In 2 years
C, In 6 years
D In 4 year and 5 months,

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关键词：exposure expo sure EXP OSU potential interest position months

决定IRS potential exposure 的因素有二： diffusion effect 即利率的不确定性；amortization effect 即duration的衰减。随着时间增加，两个因素的作用是相反的。
不想现场推导的童鞋，就需要死背那个IRS的Exposure profile，在1/3的horizon的时候最大。所以这题就6年*1/3=2 年。

xyzhang_hello 发表于 2013-10-17 14:04
决定IRS potential exposure 的因素有二： diffusion effect 即利率的不确定性；amortization effect 即dur ...

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