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12345678wdv · 2024年11月07日

short option 如果是negative ，exposure 不是为0 吗，为什么说敞口大

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000055

问题如下：

You are an analyst at Bank Alpha. You were given the task to determine whether under Basel II your bank can use the standardized approach to report options exposure instead of the internal models approach. Which of the following criteria would your bank have to satisfy in order for it to use the simplified approach?

选项：

A.

The bank writes options, but its options trading is insignificant in relation to its overall business activities.

B.

The bank purchases and writes options and has significant option trading.

C.

The bank solely purchases options, and its options trading is insignificant in relation to its overall business activities.

D.

The bank purchases and writes options, but its option trading is insignificant.

解释：

C is correct. A bank can use the simplified approach only if it purchases options and its option trading is not significant. Otherwise, it is required to use the intermediate approach. Another way to look at the question is that answer c. contains the weakest conditions (i.e., those least likely to lead to a large loss).

如题

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1 个答案

pzqa39 · 2024年11月07日

嗨，努力学习的PZer你好：


是的，short option的exposure是0，因为卖期权已经先把期权费拿到手了，后续只有我违约的份，因为我只有义务，对手方是无法违约的，exposure是0


这道题不选A的原因是simplified approach仅适用于银行long期权且期权交易对其整体业务活动影响不大。short是不符合要求的。


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