NO.PZ2024042601000082
问题如下：
选项：
An underlying exposure with an effective annual price volatility of 6% is collateralized by a 10-year U.S. Treasury note with an effective price volatility of 8%. The correlation between the exposure and the U.S. Treasury note is zero. Changes in the value of the overall position (the exposure plus collateral) are calculated for a 10-day horizon at a 95% confidence interval. Which of the following would one expect to observe from this analysis?
A.The presence of collateral increases the current exposure and increases the volatility of the exposure between remargining periods
B.The presence of collateral decreases the current exposure, but increases the volatility of the exposure between remargining periods
C.The presence of collateral increase the current exposure, but decreases the volatility of the exposure between remargining periods
D.The presence of collateral decreases the current exposure and decreases the volatility of the exposure between remargining periods
解释：
Explanation: Worst case change for the value of the collateral is: -1.96*8%*(10/250)0.5 = -3.136%. The overall volatility of the position: (0.062 + 0.082)0.5 = 0.10 = 10%
Thus the worst case change in the value of this position (exposure + collateral) = -1.96*10%* (10/250)0.5 = -3.920%
Thus, the collateral mitigates the exposure today while increasing the volatility of the position in the future.
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