Methods is not used to reduce credit risk

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Reference no: EM131623817

1. Which of the following methods is not used to reduce credit risk?

a. delta-gamma-vega hedging

b. collateral

c. marking to market

d. limiting the amount of business you do with a party

e. none of the above

2. Show work. Determine the value of an interest rate call option at the maturity of a loan if the call has a strike of 4%, a face value of $50 million, the loan matures 180 days after the call is exercised, the call expires in 60 days, the call premium is $100,000, and LIBOR ends up at 5%.

a. $100,000

b. $150,000

c. $200,000

d. $250,000

e. None of the above

Reference no: EM131623817

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