Which ofthe following statements regarding counterparty credit risk are correct?

 

　　1.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.

 

　　V1.Collateral agreements require that specified amounts of liabilities be transferred to counterparty if exposures excecd a specified threshold.

 

　　A.III and V only.

 

　　B.I,III,and V.

 

　　C.I,II,and IV.

 

　　D.III,V,and VI.

 

　　Answer:A

 

　　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.