NO.PZ2020033003000042
问题如下：
Which of the following statements about counterparty risk is not correct?
选项：
A. The value of the contract in the future is uncertain both in magnitude and in sign. The future value can be positive or negative and is typically highly uncertain.
B. Counterparty risk is typically bilateral as the contract value can be positive or negative in a derivatives transaction.
C. Future default probability of a junk bond may decrease for periods far into the future.
D. We need to determine the actual probability of default first, and then calculate the probability of default at risk neutral.
解释：
D is correct.
考点：Counterparty Risk
解析：风险中性的违约概率是与market implied相关的，在它的计算上，不需要先知道real-world的违约概率。
请教一下老师C的解释，谢谢！
