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papher · 2020年08月31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.

能否翻译 一下 题目和选项，谢谢

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小刘_品职助教 · 2020年08月31日

同学你好，

题干的前面可以不用看，是背景介绍，大意就是我们对Ford的授信用完了，不想增加风险敞口，直接看最后一句，问以下那种交易不会增加对Ford的信用风险敞口，

答案选C，因为我卖期权给Ford，我已经先把期权费拿到手了，后面对我来说我只有义务，所以不存在对Ford有信用风险敞口。

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