开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

六姑娘 · 2021年12月01日

求解

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000045

问题如下：

AT Bank has reached its credit limit to Benz but Benz is still asking AT Bank for protection in the event a major project Benz is undertaking which may result in some unforeseen liability. Putting settlement risk and assuming option premiums are paid immediately at the time of the transaction aside, which of the following trade by AT bank will not rise its credit exposure to Benz?

选项：

A.

Selling a costless collar to Benz

B.

Buying an option from Benz

C.

Selling an option to Benz

D.

None of the above

解释：

C is correct.

考点：Credit exposure

解析：

Selling an option has no credit exposure.

A is incorrect. A collar involves both sale and purchase of an option.

这题麻烦解答下，我不懂讲什么

添加评论
2 个答案

DD仔_品职助教 · 2021年12月01日

嗨，从没放弃的小努力你好：


1，期权费在交易前Benz就给AT银行了，ATbank已经收到手了，这部分就没有任何敞口了

2，题目问的是which of the following trade by AT bank will not rise its credit exposure to Benz?下面哪一个由ATbank进行的交易不会增加他对benz的敞口，说的是ATbank的敞口，问的是ATbank的敞口的情况，没问benz的敞口。这更像是英文阅读题。。。

benz是option的买方，他会赚钱，肯定是有敞口的。但是题目问的是ATbank的敞口，ATbank作为卖方只会亏钱，short option的atbank敞口不会增加。

----------------------------------------------
努力的时光都是限量版，加油！

DD仔_品职助教 · 2021年12月01日

嗨，从没放弃的小努力你好：


这题前面说了一大堆情况，其实我们可以都不看，没有用，只看题目问的啥。

题目问AT银行下面哪个操作不会影响对于Benz的信用风险敞口？

这个考的是一个结论，针对于option的卖方，他永远都是亏钱的，所以没有credit exposure。很容易就选出来了C，AT卖option给Benz，AT是short方只有亏钱的可能，不会增加AT的exposure。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

六姑娘 · 2021年12月01日

针对于option的卖方，他永远都是亏钱的？不是至少有期权费什么的吗？ AT卖option给Benz，AT是short方只有亏钱的可能（那benz不就可以赚钱，有敞口，怎么不会影响benz了？）不会增加AT的exposure。

  • 2

    回答

  • 1

    关注

  • 434

    浏览
相关问题

NO.PZ2020033002000045 问题如下 Bank hreacheits cret limit to Benz but Benz is still asking Bank for protection in the event a major projeBenz is unrtaking whimresult in some unforeseen liability. Putting settlement risk anassuming option premiums are paiimmeately the time of the transaction asi, whiofthe following tra bank will not rise its cret exposure to Benz? Selling a costless collto Benz Buying option from Benz Selling option to Benz None of the above C is correct.考点Cret exposure解析 Selling option hno cret exposure. A is incorrect. A collinvolves both sale anpurchase of option. 老师期权的short放都不会增加信用风险敞口，只有亏钱的义务，那collar呢？不也是一种期权吗？Aselling collar等于也是卖一种期权啊

2023-07-18 22:51 2 · 回答

NO.PZ2020033002000045 问题如下 Bank hreacheits cret limit to Benz but Benz is still asking Bank for protection in the event a major projeBenz is unrtaking whimresult in some unforeseen liability. Putting settlement risk anassuming option premiums are paiimmeately the time of the transaction asi, whiofthe following tra bank will not rise its cret exposure to Benz? Selling a costless collto Benz Buying option from Benz Selling option to Benz None of the above C is correct.考点Cret exposure解析 Selling option hno cret exposure. A is incorrect. A collinvolves both sale anpurchase of option. 如果是针对Bank自身的信用风险敞口来说，买或卖option一样应该都不会增加自己的cret exposure

2022-11-01 14:55 1 · 回答

NO.PZ2020033002000045问题如下 Bank hreacheits cret limit to Benz but Benz is still asking Bank for protection in the event a major projeBenz is unrtaking whimresult in some unforeseen liability. Putting settlement risk anassuming option premiums are paiimmeately the time of the transaction asi, whiofthe following tra bank will not rise its cret exposure to Benz? Selling a costless collto BenzBuying option from BenzSelling option to Benz None of the above C is correct.考点Cret exposure解析 Selling option hno cret exposure. A is incorrect. A collinvolves both sale anpurchase of option. costless collar是啥

2022-07-13 09:34 2 · 回答

NO.PZ2020033002000045 卖了一个期权给Benz，对手方拥有权力，自己不会就有风险了吗

2021-11-06 22:41 1 · 回答