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Fair · 2022年03月13日

这题没看明白，请再解释一下

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000043

问题如下：

Ace Bank is calculating its counterparty credit exposure to Horizon, a hedge fund. Which of the following trades by Ace Bank would not increase its credit exposure to Horizon?

I. Buying a call option from Horizon

II. Selling a put option to Horizon

III. Selling a forward contract to Horizon

IV. Buying a secondary loan granted to Sunshine Inc. from Horizon

选项：

A.

II only

B.

II and IV only

C.

II and III only

D.

II, III, and IV only

解释：

B is correct.

考点：Credit exposure

解析：

I would increase. Buying an option creates credit exposure because the contract could bring positive cash flow.

II would not increase. Selling an option does not create exposure because the contract could not bring positive cash flow.

III would increase. Entering a forward contract creates credit exposure because the contract could bring positive cash flow.

IV would not increase. Buying a loan creates exposure to Sunshine, not Horizon.

这题没看明白，请再解释一下

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DD仔_品职助教 · 2022年03月13日

嗨，努力学习的PZer你好：


题目问，下面银行的哪一个操作不会增加这个horizon这个公司的信用敞口。

当有收益的时候，才会面临损失，这个时候才会有信用敞口。没有收益，亏钱的时候才不会担心对手方的风险，因为是对方担心我的风险，所以在这个时候是没有信用敞口的。那么我们要找的就是会使得银行亏钱的操作。

首先看I和II，option的买方是在自己有利的时候行权，买一个option，无论什么option未来都可能会有收益，所以buy一个option会增加信用敞口。而卖一个option未来只有亏钱的可能，所以shortoption的一方只会有损失，就没有信用敞口。选II

III对于forward合同，买卖双方都有可能在未来获利，所以无论买还是卖，都会面临信用敞口。

IV银行从horizon手里买了一个sunshine发行的loan，那么sunshine发行的贷款意味着sunshine把钱借给别人，面临别人未来可能不会给sunshine还钱的可能性。所以是sunshine面临敞口，跟horizon没任何关系。不会增加horizon的敞口

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