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安yy · 2022年07月13日

A选项是什么意思

NO.PZ2020033002000045

问题如下:

AT Bank has reached its credit limit to Benz but Benz is still asking AT Bank for protection in the event a major project Benz is undertaking which may result in some unforeseen liability. Putting settlement risk and assuming option premiums are paid immediately at the time of the transaction aside, which ofthe following trade by AT bank will not rise its credit exposure to Benz?

选项:

A.

Selling a costless collar to Benz

B.

Buying an option from Benz

C.

Selling an option to Benz

D.

None of the above

解释:

C is correct.

考点:Credit exposure

解析:

Selling an option has no credit exposure.

A is incorrect. A collar involves both sale and purchase of an option.

costless  collar是啥

2 个答案

李坏_品职助教 · 2023年07月19日

嗨,爱思考的PZer你好:


之前的解析有问题。


A 包含卖出期权以及买入期权。这俩期权只有期权费可以抵消,但是exposure并不能抵消。因为卖出期权是没有exposure的(我卖出期权,如果对手之后违约,那我毫无损失,因为我期初已经收取了期权费了,我没有信用风险)。

而买入期权是增加exposure的,也就是我买入期权,如果对手方违约,那我就可能会面临信用风险。


所以只要是涉及到买入期权的,都会增加exposure,所以A会带来增加exposure。

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李坏_品职助教 · 2022年07月13日

嗨,爱思考的PZer你好:


collar是领式期权。


他是利率上限期权(cap)和利率下限期权(floor)的结合。具体地说,collar是指在买进一个cap的同时,卖出一个floor(也可能是买入floor + 卖出cap),用一个期权费收入抵消另一个期权的成本。


注:cap的多头是利率越高越有可能赚钱。floor的多头是利率越跌越可能赚钱。


银行卖一份零成本的collar给benz,信用风险敞口是0,银行自己没有新增信用风险。

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410140980 · 2023年07月18日

老师这道题选C,不会增加信用风险敞口,按照您的解析我感觉A也没有增加

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