) THE CURRENT POTENTIAL CREDIT LOSS OF THE BANK'S CALL OPTION POSITION IS CLOSEST TO
5.) The current potential credit loss of the bank's call option position is closest to:
A.
$0.
B.
$30.
C.
$35.
Answer = C
A failure (e.g., bankruptcy) of the option seller would mean the option holder (the bank)
would lose the entire market value of $35.
“Risk Management,” by Don M. Chance, Kenneth Grant, and John Marsland