这一题没有很懂
问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
妙悟先生品职答疑助手 · 2018年08月19日
首先要明白wrong-way risk的概念，即风险敞口和对手方违约概率反向变动的风险，即一个头寸越赚钱，对方反而越容易违约的情况。以C为例，B是一个美国公司主要出口到印度尼西亚，整个swap的头寸是B付USD interest rate，Bank收USD interest rate。对于Bank来说，USD interest rate上升，它是越来越赚钱的，但是美元利率上升意味着美元相对印尼卢比升职，升值意味着出口竞争力就下降，B公司整体营收就会受到负面影响，反而其偿付能力会下降，对手方风险上升，所以对银行来说是有wrong-way risk。
KellyBai · 2019年05月14日
老师 请问1. B选项卖option ，没有credit risk对吗？ 2. D选项 long option to buy IDR 怎么分析？
DDAXC · 2020年03月15日
WWR不是风险敞口和违约概率正向变动的风险吗
LHY · 2020年08月01日
wrong-way risk 的概念应该是对手方违约的风险和潜在获利（+0时）通向变动的风险，儿获利其实和风险敞口是negative的关系，所以WWR就是对手方违约风险和风险敞口的反向变动关系。 是这个逻辑吧？
NO.PZ2016072602000031 问题如下 Counterparty A is Americcompany with manufacturing operations in Innesia anits main customers in the UniteStates, while counterparty B is Americcompany thmanufactures its goo mestically anexports solely to InnesiWhione of the following transactions with either counterparty will a wrong-wexposure for a bank? A five-yeplain-vanilla I/UScross-currenswbetween the bank ancounterparty A where the bank is USinterest rate receiver A five-yeplain-vanilla I/UScurrenoption solthe bank to counterparty A for it to buy I a certain rate A five-yeplain-vanilla I/UScross-currenswbetween the bank ancounterparty B where the bank is USinterest rate receiver A five-yeplain-vanilla I/UScurrenoption bought the bank from counterparty B for the bank to buy I a certain rate C is correct. This is example of a wrong-wexposure, where a gain on the instrument for the bank is associatewith a higher probability of fault (P for its counterparty. If the I preciates, counterparty A will make a profit because its costs will go wn in llars; conversely for counterparty because its llrevenues will crease. Unr c., the company pays USanreceives I. This transaction will create a loss if the I preciates. In this situation, counterparty B will lose money well on its exports. Hence, this is a wrong-wtra. 如题
NO.PZ2016072602000031 问题如下 Counterparty A is Americcompany with manufacturing operations in Innesia anits main customers in the UniteStates, while counterparty B is Americcompany thmanufactures its goo mestically anexports solely to InnesiWhione of the following transactions with either counterparty will a wrong-wexposure for a bank? A five-yeplain-vanilla I/UScross-currenswbetween the bank ancounterparty A where the bank is USinterest rate receiver A five-yeplain-vanilla I/UScurrenoption solthe bank to counterparty A for it to buy I a certain rate A five-yeplain-vanilla I/UScross-currenswbetween the bank ancounterparty B where the bank is USinterest rate receiver A five-yeplain-vanilla I/UScurrenoption bought the bank from counterparty B for the bank to buy I a certain rate C is correct. This is example of a wrong-wexposure, where a gain on the instrument for the bank is associatewith a higher probability of fault (P for its counterparty. If the I preciates, counterparty A will make a profit because its costs will go wn in llars; conversely for counterparty because its llrevenues will crease. Unr c., the company pays USanreceives I. This transaction will create a loss if the I preciates. In this situation, counterparty B will lose money well on its exports. Hence, this is a wrong-wtra. 老师好，请问B的意思是“A公司购买了印度尼西亚币”吗？但A公司是在印度尼西亚生产然后卖到美国，A公司收的是美元，应该是印度尼西亚币升值对A公司不利好啊。我搞不太懂B的逻辑，麻烦您完整的讲解一下吧，谢谢！
NO.PZ2016072602000031 A five-yeplain-vanilla I/UScurrenoption solthe bank to counterparty A for it to buy I a certain rate A five-yeplain-vanilla I/UScross-currenswbetween the bank ancounterparty B where the bank is USinterest rate receiver A five-yeplain-vanilla I/UScurrenoption bought the bank from counterparty B for the bank to buy I a certain rate C is correct. This is example of a wrong-wexposure, where a gain on the instrument for the bank is associatewith a higher probability of fault (P for its counterparty. If the I preciates, counterparty A will make a profit because its costs will go wn in llars; conversely for counterparty because its llrevenues will crease. Unr c., the company pays USanreceives I. This transaction will create a loss if the I preciates. In this situation, counterparty B will lose money well on its exports. Hence, this is a wrong-wtra. wrong wrisk是哪里的知识点呀？
NO.PZ2016072602000031问题如下 Counterparty A is Americcompany with manufacturing operations in Innesia anits main customers in the UniteStates, while counterparty B is Americcompany thmanufactures its goo mestically anexports solely to InnesiWhione of the following transactions with either counterparty will a wrong-wexposure for a bank? A five-yeplain-vanilla I/UScross-currenswbetween the bank ancounterparty A where the bank is USinterest rate receiver A five-yeplain-vanilla I/UScurrenoption solthe bank to counterparty A for it to buy I a certain rate A five-yeplain-vanilla I/UScross-currenswbetween the bank ancounterparty B where the bank is USinterest rate receiver A five-yeplain-vanilla I/UScurrenoption bought the bank from counterparty B for the bank to buy I a certain rate C is correct. This is example of a wrong-wexposure, where a gain on the instrument for the bank is associatewith a higher probability of fault (P for its counterparty. If the I preciates, counterparty A will make a profit because its costs will go wn in llars; conversely for counterparty because its llrevenues will crease. Unr c., the company pays USanreceives I. This transaction will create a loss if the I preciates. In this situation, counterparty B will lose money well on its exports. Hence, this is a wrong-wtra. 两个问题1.能否重新一下a不远的原因2.期权交易是否不涉及敞口的增加还是减少
NO.PZ2016072602000031 以C为例，B是一个美国公司主要出口到印度尼西亚，整个swap的头寸是B付USinterest rate，Bank收USinterest rate。对于Bank来说，USinterest rate上升，它是越来越赚钱的，但是美元利率上升意味着美元相对印尼卢比升职，升值意味着出口竞争力就下降，B公司整体营收就会受到负面影响，反而其偿付能力会下降，对手方风险上升，所以对银行来说是有wrong-wrisk。 以例，B是一个美国公司主要出口到印度尼西亚，整个optionn的头寸是Bank以固定汇率买I。对于Bank来说，I贬值，它是越来越赚钱的，但是I贬值意味着美元相对印尼卢比升职，升值意味着出口竞争力就下降，B公司整体营收就会受到负面影响，反而其偿付能力会下降，对手方风险上升，所以对银行来说是有wrong-wrisk？