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我们 · 2020年05月09日

问一道题：NO.PZ2016082406000045

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

Your company has reached its credit limit to Ford but Ford is insisting that your firm provide some increased protection in the event a major project Ford is undertaking results in some unforeseen liability. Ignoring settlement risk and assuming option premiums are paid immediately at the time of the transaction, which of these strategies will not give rise to increased credit exposure to Ford?

选项：

A.

Selling a costless collar to Ford

B.

Buying an option from Ford

C.

Selling an option to Ford

D.

None of the above

解释：

ANSWER: C

This is the only answer that involves truly selling an option, which has no credit exposure. A collar involves the sale and purchase of an option.

请问这个题是问我们这一方是否有风险增加吗？而不是Ford？

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1 个答案

品职答疑小助手雍 · 2020年05月09日

嗨，努力学习的PZer你好：


问的是选项中哪笔交易（肯定）不会增加我们（对 Ford） 的 credit exposure，C里卖给ford期权，ford是买方，这会增加ford的credit exposure，而不会增加我们的，所以选C。


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