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vivian_zm · 2020年09月22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.

麻烦请老师解释一下A选项，谢谢！

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小刘_品职助教 · 2020年09月22日

同学你好，

因为collar option是由两个期权构成的，

购买一个行使价为X的看跌期权（floor)

卖出一个行使价为X+A的看涨期权(cap)，因此对Ford是有风险敞口的，因为你从他那儿买入了期权。

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