Financial Risk Manager Part 2
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Ultimate access to all questions.
If a counterparty defaults before maturity, which of the following situations will cause a credit loss?
A
You are short Euros in a one-year euro/USD forward FX contract, and the euro has appreciated.
B
You are short Euros in a one-year euro/USD forward FX contract, and the euro has depreciated.
C
You sold a one-year OTC euro call option, and the euro has appreciated.
D
You sold a one-year OTC euro call option, and the euro has depreciated.