NO.PZ2020033003000077
问题如下：
Which of the following judgments about Right-Way Risk(RWR) and Wrong-Way Risk(WWR) is correct?
I.A floor company enters into a contract to hedge the declining price of floor using forward contract is an example of RWR.
II. Long a bank’s stock and buy a put on the bank’s stock from the bank is an example of WWR.
III.Long a bank’s stock and buy a call on the bank’s stock from the bank is an example of WWR.
选项：
A.I only.
B.I and II.
C.I, II and III.
D.I, III.
解释：
B is correct.
考点：Wrong-Way Risk Vs. Right-Way Risk
解析：地板商通过forward锁定未来卖价，未来价高时候公司收益高不容易违约，价低时候公司要通过合约减少损失也不会违约，RWR。
买一家银行的股票同时以它们的看跌期权作为保底，银行效益不好的时候股价下跌，同时可能对看跌期权违约，WWR。
买一家银行的同时买它们的看涨期权，银行效益好的时候股涨，期权涨不会违约，银行效益不好的时候股跌，期权没价值不会行权，也不担心银行违约，RWR。
如果股价上涨，long call行权赚钱， 那么对手方不就是有违约的风险吗？exposure也因为股价的上涨增加了，为什么不是WWR?
