NO.PZ2016082405000107
问题如下:
Which of the following statements regarding counterparty risk and lending risk is correct?
选项: For an interest-rate swap,
counterparty risk exists because default may occur at the end of the contract
term.
With counterparty risk, there is uncertainty as to which counterparty will have a negative mark-to-market value.
C.Lending risk involves bilateral risks.
D.With lending risk, the principal amount at risk is known with absolute certainty at the outset.
解释:
B With counterparty risk, there is uncertainty regarding which counterparty will have a negative MtM value. For an interest-rate swap, there is no counterparty risk at the end of the contract term because all payments required by the contract would have been made by then. With lending risk, only one party (unilateral) takes on risk. In addition, the principal amount at risk is known only with reasonable certainty at the outset because changes in interest rates, for example, will lead to some uncertainty.
B应该不对吧,前半句说uncertainty是没错,但是谁是negative根本不是应该关心的地方吧,谁是负的无所谓,主要看谁是positive的吧。这样后半句不就错了么,相对于D答案的考虑折现的情况,感觉B错的更离谱吧