题目
Which OTC derivatives class has the LARGEST amount of gross notional outstanding?
选项
A.Equity derivatives
B.Credit default swaps
C.Interest rate derivatives
D.Foreign exchange derivatives
答案
C
解析
OTC derivatives include the following five broad classes of derivative securities: interest rate derivatives, foreign exchange derivatives, equity derivatives, commodity derivatives and credit derivatives. Interest rate products contribute the majority of the outstanding notional, with foreign exchange and credit default swaps seemingly less important. However, this gives a somewhat misleading view of the importance of counterparty risk in other asset classes, especially foreign exchange and credit default swaps. Whilst most foreign exchange products are short-dated, the long-dated nature and exchange of notional in cross-currency swaps means they carry a lot of counterparty risk. Credit default swaps not only have a large volatility component but also constitute significant ‘wrong-way risk’. Therefore, whilst interest rate products make up a significant proportion of the counterparty risk in the market, one must not underestimate the other important (and sometimes more subtle) contributions from other products.场外衍生工具包括以下五大类衍生证券：利率衍生工具、外汇衍生工具、股票衍生工具、商品衍生工具和信用衍生工具。利率产品规模较大，而外汇和信用违约互换似乎不那么重要。然而，这在一定程度上误导了人们对其它资产类别(尤其是外汇和信用违约互换)交易对手风险重要性的看法。虽然大多数外汇产品都是短期的，但长期的性质和在跨货币互换中的名义汇率意味着它们会带来大量的交易对手风险。信用违约互换不仅具有很大的波动性，而且构成了重大的“错误风险”。因此，虽然利率产品在市场交易对手风险中占相当大的比例，但不能低估其他产品的其他重要(有时更微妙)贡献。