NO.PZ2022081802000091
问题如下:
Question Which of the following pairs of risks are most closely related?选项:
A.Model risk and tail risk B.Liquidity risk and operational risk C.Credit risk and solvency risk解释:
SolutionA is correct. Model risk is the risk of using the wrong model to analyze an investment or the risk of using the right model for the analysis but using it incorrectly. Tail risk, although it involves unlikely but substantial losses, typically results from using inappropriate modeling assumptions such as assuming that returns are normally distributed. Credit risk involves the risk of a borrower not repaying you, whereas solvency risk is the risk of you running out of the money needed to pay your obligations. Liquidity risk is the risk that the future transaction price for an investment will be different than expected, whereas operational risk includes a wide range of potential problems occurring within an organization’s personnel and systems.
B is incorrect because liquidity risk is the risk that the future transaction price for an investment will be different than expected, whereas operational risk includes a wide range of potential problems occurring within an organization’s personnel and systems.
C is incorrect because credit risk involves the risk of a borrower not repaying you, whereas solvency risk is the risk of you running out of the money needed to pay your obligations.
可以请老师解释一下A选项吗?
谢谢老师。