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LOS i: Evaluate the credit risk of an investment position, including forward contract, swap, and option positions.
Q1. The long position of a forward contract bears the credit risk if the market price of the underlying is:
A) less than the exercise price.
B) equal to the exercise price.
C) greater than the exercise price.
Q2. Which of the following will have the least amount of credit risk? A(n):
A) either position in a plain-vanilla currency swap.
B) short option position.
C) pay-fixed position in a plain-vanilla interest rate swap.
Q3. Prior to expiration, the long position in a European option would have:
A) zero credit risk.
B) only potential credit risk.
C) more current credit risk than potential credit risk. | 
发表于 2009-4-7 18:51
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