NO.PZ2016082406000046
问题如下：
If a counterparty defaults before maturity, which of the following situations will cause a credit loss?
选项：
A. You
are short euros in a one-year euro/USD forward foreign exchange (FX) contract,
and the euro has appreciated.
B. You
are short euros in a one-year euro/USD forward FX contract, and the euro has
depreciated.
C. You
sold a one-year OTC euro call option, and the euro has appreciated.
D. You
sold a one-year OTC euro call option, and the euro has depreciated.
解释：
ANSWER: B
Being short an option creates no credit exposure, so answers C and D are false. With the short forward contract, a gain will be realized if the euro has depreciated.
1、请问这个题可不可以这么理解：我方卖远期欧元。当欧元贬值，那么我还是用约定的价格卖出欧元，我方赚钱，那么对方亏钱，对手方就会存在违约的风险敞口？ 2、可不可以这么判断：buy option, short forward 都是增加对手方的风险敞口，short option是增加我方的风险敞口？如果一方的风险敞口增加，是不是说明对方在亏钱？
