NO.PZ2020033002000044
问题如下:
Which of the following trade would have the greatest potential credit exposure?
选项:
A.Long 1,000 barrel of oil, delivering in one year
B.Long 1,000 barrel of oil, delivering in two years
C.Short 1,000 barrel of oil, delivering in two years
D.Selling an at-the-money call option on 10,000 barrel of oil for delivery in two years
解释:
B is correct.
考点:Credit exposure
解析:
卖期权不会产生 credit exposure,所以不选D
期限越长,potential credit exposure越大,所以不选A
Short期货,那它的收益最高情况就是现货的价格在交割日跌到0,所以你的赚钱空间最多就是0时刻的远期价格*份数。但是,如果你long一个期货,因为现货的上涨空间无限大,你以约定好的远期价格买入,那么你潜在的赚钱空间就无限大。所以不选C 选 B
卖期权为啥不会有credit exposure呀?