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
我记得之前有个题目说是越临近到期，credit exposure会越大（foreign currency option）。
