FRM练习题2022年考生必做！

发布时间：2022-04-09 09:48编辑：融跃教育FRM

在备考FRM考试中看网课很重要，其次FRM练习题也是很重要的，是2022年考生必做。下文是小编列举的相关真题解析，希望对备考的你有所帮助！

1、How does the credit exposure of a long OTC put option on XYZ stock change when the stock price decreases?

A) Increases

B) Decreases

C) Doesn't vary with underlying stock price

D) There is no credit exposure on long options

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答案：A

解析：●Credit exposure from long positions in OTC options, assuming that the credit quality of the counterparty remains constant, is driven by the level of the contingent future liability, i.e. the larger the expected future claim against the counterparty, the larger the credit risk.

●The value of the put at expiration is defined as max(X-S, 0) where X = strike price and S = spot price. Therefore, a long put option increases in value as the stock price decreases. Thus, the expected liability of our counterparty is increased (choice A).

2、Which of the following two transactions increases counterparty credit exposure? Ⅰ.Selling a forward contract to the counterparty. Ⅱ.Selling a call option to the counterparty.

A) I only.

B) II only.

C) Both.

D) Neither.

答案：A

解析：●Selling of forward contract creates credit risk exposure to the counterparty as it is subject to the performance of the counterparty, which may default to pay at expiry date.

●Selling an option (for both call and put) does not create credit risk as it is not subject to the performance of the counterparty. The option premium has already been collected when the transaction is made and default of the counterparty will have no negative impact on the seller.

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