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Which of the following statements regarding exposure measures is not accurate?

A) Assuming no recovery in bankruptcy, current exposure is the greater of zero and the market value of a transaction or portfolio of transactions that the investor would be lost when a counterparty defaulted.

B) Potential Future Exposure measures the distribution of exposures of low percentile.

C) Expected exposure measures the mean distribution of exposures at a given future date prior to the maturity of the longest maturity exposure in the netting group.

D) The weights of expected positive exposure could represent the proportion that an individual expected exposures of the entire time interval.

答案：B

解析：Potential Future Exposure measures the distribution of exposures of high percentile.

BankAtrades a 10-year interest rate swap with Bank B. Bank Ais concerned about the 1-year exposure since Bank B has a poor credit rating. Which of the following measures will exacerbate Bank A's credit exposure to Bank B?

Ⅰ.Application of CSA.

Ⅱ.Execute the swap as a reset swap wherein the swap will be marked to market every six months.

Ⅲ.Application of break clause.

Ⅳ.Decrease the frequency of coupon payments.

A) I only

B) IV only

C) I, II, III and IV

D) I, II and III

答案：B

解析：More the time for the next payment, greater are the chances for the market rates to move in one counterparty's favor. Therefore, decreasing the frequency of payments increases the credit exposure rather than decreasing it.

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