NO.PZ2023120801000097
问题如下：
The two components of credit risk are default probability
and:
选项：
A.spread risk
loss severity
market liquidity risk
解释：
Correct Answer: B
The two components
of credit risk are default probability and loss severity. In the event of default,
loss severity is the portion of a bond’s value (including unpaid interest) an
investor loses. A and C are incorrect because spread and market liquidity risk
are credit-related risks, not components of credit risk.
我记得何老师说信用风险包括违约的风险和评级被下调的风险，评级被下调，不就是spread 变大吗
