开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Coco · 2021年11月06日

卖了一个期权给Benz,对手方拥有权力,自己不会就有风险了吗

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 of the 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.

卖了一个期权给Benz,对手方拥有权力,自己不会就有风险了吗

1 个答案

李坏_品职助教 · 2021年11月07日

嗨,爱思考的PZer你好:


sorry同学,刚才答疑我把这个题和另一个弄混了。


这个题目里面Benz是一个已经达到了授信额度上限的公司,还有可能背上更多的liability。bank主要的exposure是Benz公司的债务,此时如果卖给他一个option,并不会增加Benz公司的负债,虽然银行可能会因为option亏一点钱,但是这是属于market risk,不会影响credit exposure~

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 391

    浏览
相关问题

NO.PZ2020033002000045 问题如下 Bank hreacheits cret limit to Benz but Benz is still asking Bank for protection in the event a major projeBenz is unrtaking whimresult in some unforeseen liability. Putting settlement risk anassuming option premiums are paiimmeately the time of the transaction asi, whiofthe following tra bank will not rise its cret exposure to Benz? Selling a costless collto Benz Buying option from Benz Selling option to Benz None of the above C is correct.考点Cret exposure解析 Selling option hno cret exposure. A is incorrect. A collinvolves both sale anpurchase of option. 老师期权的short放都不会增加信用风险敞口,只有亏钱的义务,那collar呢?不也是一种期权吗?Aselling collar等于也是卖一种期权啊

2023-07-18 22:51 2 · 回答

NO.PZ2020033002000045 问题如下 Bank hreacheits cret limit to Benz but Benz is still asking Bank for protection in the event a major projeBenz is unrtaking whimresult in some unforeseen liability. Putting settlement risk anassuming option premiums are paiimmeately the time of the transaction asi, whiofthe following tra bank will not rise its cret exposure to Benz? Selling a costless collto Benz Buying option from Benz Selling option to Benz None of the above C is correct.考点Cret exposure解析 Selling option hno cret exposure. A is incorrect. A collinvolves both sale anpurchase of option. 如果是针对Bank自身的信用风险敞口来说,买或卖option一样应该都不会增加自己的cret exposure

2022-11-01 14:55 1 · 回答

NO.PZ2020033002000045问题如下 Bank hreacheits cret limit to Benz but Benz is still asking Bank for protection in the event a major projeBenz is unrtaking whimresult in some unforeseen liability. Putting settlement risk anassuming option premiums are paiimmeately the time of the transaction asi, whiofthe following tra bank will not rise its cret exposure to Benz? Selling a costless collto BenzBuying option from BenzSelling option to Benz None of the above C is correct.考点Cret exposure解析 Selling option hno cret exposure. A is incorrect. A collinvolves both sale anpurchase of option. costless collar是啥

2022-07-13 09:34 2 · 回答

NO.PZ2020033002000045 这题麻烦解答下,我不懂讲什么

2021-12-01 12:01 2 · 回答