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Which of the following would not generally decrease credit risk?

A) Entering into an interest-rate swap with a counterparty

B) Signing a legally-binding netting agreement covering a portfolio of OTC derivative trades with a counterparty

C) Clearing an existing trade through a clearing house

D) Purchasing a credit derivative from aAAA-rated institution that pays USD 5 million if a bond defaults

答案：A

解析：A is correct. Entering into an interest rate swap causes the firm to be exposed to the credit risk of the swap counterparty.

B is incorrect. Netting agreements are one of the most powerful ways for controlling exposures. The purpose of these agreements is to provide for netting of payments across a set of contracts.

C is incorrect. Executing a trade through a clearing house will generally decrease credit risk. The counterparty to the contract is now the clearinghouse. Most clearinghouses are well capitalized and their risk of default is effectively zero.

Which of the following statements regarding counterparty credit risk are correct?

Ⅰ.Expected positive exposure is the highest expected exposure over a specified interval.

Ⅱ.Wrong-way exposures are positively correlated with the counterparty’s credit quality.

Ⅲ.Credit triggers are early settlement agreements that require counterparties to settle and terminate trades if the credit rating of a party falls below a specified level.

Ⅳ.Right-way exposures are negatively correlated with the counterparty’s credit quality.

Ⅴ.Cross-product netting is a provision that allows counterparties to net payments across different products.

Ⅵ.Collateral agreements require that specified amounts of liabilities be transferred to counterparty if exposures exceed a specified threshold.

A) III and V only.

B) I, III, and V.

C) I, II, and IV.

D) III, V, and VI.

答案：A

掃碼參與

解析：Credit triggers are early settlement agreements that require counterparties to settle and terminate trades if the credit rating of a party falls below a specified level. Cross-product netting is a provision that allows counterparties to net payments across different products. Expected positive exposure is the average expected exposure over  a specified interval. Wrong-way exposures are negatively correlated with the counterparty’s credit quality Right-way exposures are positively correlated with the counterparty’s credit quality. Collateral agreements require that specified amounts of assets be transferred to a counterparty if exposures exceed a specified threshold.

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