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陈晓昭 · 2020年06月03日

问一道题:NO.PZ2016082406000002 [ FRM II ]

问题如下:

Which one of the following statements about multilateral netting systems is not accurate?

选项:

A.

Systemic risks can actually increase because they concentrate risks on the central counterparty, the failure of which exposes all participants to risk.

B.

The concentration of risks on the central counterparty eliminates risk because of the high quality of the central counterparty.

C.

By altering settlement costs and credit exposures, multilateral netting systems for foreign exchange contracts could alter the structure of credit relations and affect competition in the foreign exchange markets.

D.

In payment netting systems, participants with net debit positions will be obligated to make a net settlement payment to the central counterparty that, in turn, is obligated to pay those participants with net credit positions.

解释:

ANSWER: B

Answers C and D are both correct. Answers A and B are contradictory. A multilateral netting system concentrates the credit risk into one institution. This could potentially create much damage if this institution fails.

可不可以解释一下选项C呀?

1 个答案

小刘_品职助教 · 2020年06月04日

同学你好,

C选项是在描述多边净额结算的好处,即引入了CCP的好处,比如A-B-C之间发生了业务,原来要分各自的交易对手结算,ABC个体的交易对手信用风险其实是不一样的,现在引入了CCP,相当于ABC的交易对手都是CCP,至少有两个好处,一是降低了结算成本,可以变成净额结算;二是改变了交易对手风险,将原来的个体变成了CCP,交易对手风险急剧下降也就会是的这个市场更有竞争力。