Financial Risk Manager Part 2

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

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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

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

C

Expected positive exposure measures averages of the positive exposures where negative ones are set to zero.

D

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

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