问题如下:
The counterparty to a dealer in the OTC market has agreed to post margin equal to max(V, 0) where V is the value of outstanding transactions to the dealer. What credit risk is the dealer taking?
选项:
解释:
The risk to the dealer corresponds to a possible increase in the value of its transactions with the counterparty around the time that the counterparty defaults. In particular, it has exposure to increases in value between the last time that the counterparty posts collateral and the time when the dealer is able to close out its position with the counterparty.
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