the answer is d. The query is on point a. please help understand why is it not correct.
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The answer is c but help with the logic.
c is the answer. My doubt is on statement b. Kindly help understand why it is a wrong way risk
23.6.1. The risk-free rate is 5.0% per annum with continuous compounding. The current price of a non-dividend-paying stock is $37.00. A six-month call option (on this stock) with a strike price of $40.00 trades at a price of $2.30 with ...
23.7.2. The riskfree rate is 5.0% while the current stock price is $80.00. Two most liquid options both have a strike price of $70.00 such that the ratio K/S(0) = 0.90. In addition to the same strike price, both options ...
23.4.1. An investor is evaluating a dollar roll. She may (or may not) roll a $10.0 million balance under the following assumptions: the to-be-announced (TBA) prices of the Fannie Mae 6.0% for June 12th and July 12th settlements are, respectively, ...
23.2.2. Oliver is conducting principal component analysis (PCA) for risk management purposes: his goal is to isolate the primary drivers of price variability in the firm’s portfolios. His dataset includes many features, and his general procedure includes the following steps ...
Kindly help with reasoning behind solution. The answer is option A
Please help with the meaning of option 1 i.e. Cash that does not need to be segregated.
This is from Bionic turtle on Counterparty credit risk chapter