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hbc0728 · 2020年03月26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.

选项B不是Ford卖了一个option吗？

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袁园_品职助教 · 2020年03月27日

同学你好！

题目问的是哪个操作不会增加我们在 Ford 那里的 credit exposure （不是问 Ford 那一方的 credit exposure）

B 选项：我们从 Ford 那里买 option，我们是买方，所以有可能行权，即会产生 credit risk

C 选项：我们卖给 Ford 一个 option，Ford 是买方，Ford 有credit risk

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