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Which of the following statements regarding wrong-way risk and right-way risk is correct?
AA long put option is subject to wrong-way risk if both risk exposure and counterparty default probability decrease.
BA long call option experiences right-way risk if the interaction between risk exposure and counterparty default probability produces an overall decline in counterparty risk.
CDeclining local currency can decrease the position gain in a foreign currency transaction, while increasing risk exposure of the counterparty.
DThe 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.
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