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和棋 · 2020年10月18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.

请问collar是bull spread或者bearspread吗，能画下图吗，感谢

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品职答疑小助手雍 · 2020年10月19日

嗨，爱思考的PZer你好：


图形和bull spread一样，不过操作方式不一样，如下图：

 


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