NO.PZ2020033002000046
问题如下:
Which of the following trade would suffer credit loss if the counterparty defaults before maturity?
选项:
A.
Shorting euro/USD forward FX contract, and the euro has appreciated.
B.
Shorting euro/USD forward FX contract, and the euro has depreciated.
C.
Selling a OTC euro call option, and the euro has appreciated.
D.
Selling a OTC euro call option, and the euro has depreciated.
解释:
B is correct.
考点:Credit exposure
解析:
做空欧元,则当欧元下跌时获利,此时如果对手方违约,就会产生损失。
卖出期权没有信用风险敞口,所以不选C D
1、这个欧元/美元的表示方法是一欧元多少美元吗?
2、credit risk 是不是可以理解为在我方获利时的选项