问题如下:
Which of the following statements is incorrect?
选项:
A.Expected mark to market (MtM): represents a transaction’s expected value at a certain time in the future.
B.Expected exposure (EE): the average of all exposure values to be lost.
Potential future exposure (PFE): the worst exposure we could have at a certain time in the future with a certain confidence level.
PFE represents loss rather than gains ((exposure), as it represents the amount at risk when the counterparty defaults.
解释:
答案:D is correct.
解析:注意本题是让选出陈述中错误的一项。D的陈述错误,所以本题选择D。
A/B/C三个选项都是正确的,为基本定义。
D选择描述错误,正确的描述应为:PFE represents gains (exposure) rather than losses, as it represents the amount at risk when the counterparty defaults.
请问老师B选项
Expected exposure (EE): the average of all exposure values to be lost.
EE不是指某个时点的平均exposure吗?那这句话怎么区别是时点还是时间段呢?B选项看着像是说一段时间的平均,貌似是average EE,是EPE的概念呢,如何区分呢