Question 1

Which of the following statements is not true about a credit spread option?

Accepted Answer

A) it is an option on the spread of a bond over a reference bond 
B) its value would change with changes in investors' perceptions of a party's credit quality 
C) it requires payment of a premium up front 
D) it requires that the underlying bond be relatively liquid 
E) none of the above 
A) it is an option on the spread of a bond over a reference bond 
B) its value would change with changes in investors' perceptions of a party's credit quality 
C) it requires payment of a premium up front 
D) it requires that the underlying bond be relatively liquid 
E) none of the above

Question 2

Earnings at Risk is a better risk measure for a derivatives dealer than is Value at Risk.

Accepted Answer

A) True 
 B)False

Which of the following statements is not true about a credit spread option?

Earnings at Risk is a better risk measure for a derivatives dealer than is Value at Risk.

Introduction

Structure of Options Markets

Principles of Option Pricing

Option Pricing Models: the Binomial Model

Option Pricing Models: the Black-Scholes-Merton Model

Basic Option Strategies

Advanced Option Strategies

Principles of Pricing Forwards,futures and Options on Futures

Futures Arbitrage Strategies

Forward and Futures Hedging,spread,and Target Strategies

Swaps

Interest Rate Forwards and Options

Advanced Derivatives and Strategies

Managing Risk in an Organization

Filters

Exam 14: Financial Risk Management Techniques and Appplications

Which of the following statements is not true about a credit spread option?

Earnings at Risk is a better risk measure for a derivatives dealer than is Value at Risk.

Introduction

Structure of Options Markets

Principles of Option Pricing

Option Pricing Models: the Binomial Model

Option Pricing Models: the Black-Scholes-Merton Model

Basic Option Strategies

Advanced Option Strategies

Principles of Pricing Forwards,futures and Options on Futures

Futures Arbitrage Strategies

Forward and Futures Hedging,spread,and Target Strategies

Swaps

Interest Rate Forwards and Options

Advanced Derivatives and Strategies

Managing Risk in an Organization

Filters