开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

四喜丸子 · 2023年08月24日

可以请老师解释一下A选项吗?

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:

Solution

A 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。

1 个答案

Kiko_品职助教 · 2023年08月25日

嗨,从没放弃的小努力你好:


A选项模型风险是使用了错误的模型分析投资风险,或者说使用了正确的模型但没有正确使用导致的风险,尾部风险通常是使用了不适当的建模假设导致的投资风险。所以他们具有比较高的相关性。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 300

    浏览
相关问题