ACI
3I0-012 · Question #308
You are the buyer of protection in a credit default swap. All other things being equal your counterparty credit risk is increasing if:
The correct answer is C. the credit spread is increasing. See the full explanation below for the reasoning.
Question
You are the buyer of protection in a credit default swap. All other things being equal your counterparty credit risk is increasing if:
Options
- Athe credit spread is decreasing
- Bthe credit spread is decreasing and recovery rate is increasing
- Cthe credit spread is increasing
- Dthe recovery rate is increasing
How the community answered
(47 responses)- A4% (2)
- B9% (4)
- C85% (40)
- D2% (1)
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