FRM真题是历年考试的题目，是FRM考试的重难点地方，因此建议考生在考前能够进行至少三套真题的练习，并对真题的知识点进行总结，帮助自己进行提升！
Which of the following statements regarding wrong-way risk and right-way risk is correct?
A) Along put option is subject to wrong-way risk if both risk exposure and counterparty default probability decrease.
B) Along call option experiences right-way risk if the interaction between risk exposure and counterparty default probability produces an overall decline in counterparty risk.
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C) Declining local currency can decrease the position gain in a foreign currency transaction, while increasing risk exposure of the counterparty.
D) The 2007-2008 credit crisis provides an example of wrong-way risk from the perspective of a long who had sold credit default swaps (CDSs) as protection against bond issuers’default.
答案：B
解析：Along call option experiences right-way risk if risk exposure and counterparty default probability results in decreased counterparty risk.Along put option is subject to wrong-way risk 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 2007-2008 credit crisis provides an example of wrong-way risk from the perspective of a long who had bought CDSs as protection against bond issuers’default.
Atrader wants to know the approximate CVAfor a counterparty in a swap
transaction. The counterparty’s expected potential exposure (EPE) is 7% and its
credit spread is 475 basis points. What is the CVAas a running spread?
A) 0.33%
B) 1.48%
C) 2.25%
D) 9.75%
答案：A
解析：Calculation of the CVAas a running spread entails multiplying the counterparty’s EPE by its credit spread: 7%×4.75% = 33 bps
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