NO.PZ2020033003000078
问题如下:
Which of the following statement about Right-Way Risk(RWR) and Wrong-Way Risk(WWR) is not correct?
选项:
A.In the 2008 financial crisis, the CDSs buyer is facing WWR.
B.The depreciation of the foreign currency leads to losses in foreign currency transactions and increases the probability of counterparty default,the foreign currency inverstor is facing WWR.
C.A long call option is facing RWR if both the risk exposure and counterparty default probability decrease.
D.A long put option is facing WWR, if the risk exposure and counterparty default probability both increase.
解释:
B is correct.
考点:Wrong-Way Risk Vs. Right-Way Risk
解析:外币贬值导致外币投资的亏损,此时我方收益减少或者损失增加,在对方看来我方的违约率可能会增加。
换言之此时exposure和违约概率不会同时变大,B错误。
课上讲的foreign currency transaction和这个有什么不一样吗。
我投资外币,就比如我现在人民币换美元,外币贬值,导致我亏损了,我的exposure下降。在经济环境不好的情况下确实对手方的PD会增加,但是为什么要考虑经济不好的情况下呢,正常经济情况外币也会贬值呀