问题如下:
Which of the following statements regarding WWR and RWR is correct?
选项: A long put option is subject to WWR if both
risk exposure and counterparty default probability decrease.
A long call option experiences RWR if the interaction between risk exposure and counterparty default probability produces an overall decline in counterparty risk.
C.Declining local currency decrease the position gain in a foreign currency transaction, while increasing risk exposure of the counterparty.
D.The 2007-2009 credit crisis provides an example WWR from the perspective of a long who had sold credit default swaps (CDSs) as protection against bond issuers' default.
解释:
B A long call option experiences BWR if risk exposure and counterparty default probability results in decreased counterparty risk. A long put option is subject to WWR 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 2007-2009 credit crisis provides an example of WWR from the perspective of a long who had bought CDSs as protection against bond issuers’ default.
怎么理解选项c呢?