hull-rmfi-15-21

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    Hull RMFI - EOC 15 Question 21 - Credit Equivalent Amount

    Reference link: R64.P2.T7.Hull_Ch15,16,17 Page 24 15.21. A bank has the following transaction with a AA-rated corporation a) A two-year interest rate swap with a principal of $100 million that is worth $3 million b) A nine-month foreign exchange forward contract with a principal of $150...
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