NO.PZ2019100902000013
问题如下：
Which of the following statements is incorrect？
选项：
A.Maximum PFE: simply represents the highest PFE value over a given time interval, thus representing the worst-case exposure over the entire interval.
B.Expected positive exposure (EPE): is defined as the average expected exposure across all time horizons.
Negative exposure: being represented by negative future values. This will obviously represent the exposure from a counterparty’s point of view.
measures such as EE and EPE can capture properly “roll-over risk”.
解释：
答案：D is correct.
解析：注意，本题让选的是错误的一项。A/B/C三个选项描述正确，D选项描述错误。
EE 和 EPE存在缺陷，他们可能会低估短期交易里的Exposure（underestimate exposure for short-dated transactions），并且正确的衡量到Roll-over risk。
为了解决EE和EPE的问题，我们就引入了effective EE and effective EPE
这个答案的意思是EE和EPE到底能不能衡量roll-over risk呢？
