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Which of the following statements regarding wrong-way risk and right-way risk is correct?

A) Along put option is subject to wrong-way risk if both risk exposure and counterparty default probability decrease.

B) Along call option experiences right-way risk if the interaction between risk exposure and counterparty default probability produces an overall decline in counterparty risk.

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C) Declining local currency can decrease the position gain in a foreign currency transaction, while increasing risk exposure of the counterparty.

D) The 2007-2008 credit crisis provides an example of wrong-way risk from the perspective of a long who had sold credit default swaps (CDSs) as protection against bond issuers’default.

答案：B

解析：Along call option experiences right-way risk if risk exposure and counterparty default probability results in decreased counterparty risk.Along put option is subject to wrong-way risk if both risk exposure and counterparty default probability increase.

Declining local currency can increase the position gain in a foreign currency transaction, while increasing counterparty risk exposure. The 2007-2008 credit crisis provides an example of wrong-way risk from the perspective of a long who had bought CDSs as protection against bond issuers’default.

Atrader wants to know the approximate CVAfor a counterparty in a swap transaction. The counterparty’s expected potential exposure (EPE) is 7% and its credit spread is 475 basis points. What is the CVAas a running spread?

A) 0.33%

B) 1.48%

C) 2.25%

D) 9.75%

答案：A

解析：Calculation of the CVAas a running spread entails multiplying the counterparty’s EPE by its credit spread: 7%×4.75% = 33 bps

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