14. Liz Parker is a junior quantitative analyst who is preparing a report dealing with counterparty credit risk migration. An excerpt of her report contains the following statements:

I. Future default probability of counterparty will likely increase over time, especially for periods far into the future.

II. When computing the default probability of a counterparty under a risk-neutral measure, we need to first determine the actual default probability.

Which of Parker's statements is (are) correct?

A. I only. B. II only. C. Both I and II. D. Neither I nor II.