问题如下:
Which of the following scenarios is not a case of a model error?
选项:
A.Assuming perfect capital markets.
B.Assuming that each financial asset does not have liquidity risk.
C.Misapplying a model.
D.Underestimating the number of risk factors.
解释:
B is correct.
考点:model risk情况
解析:一般模型风险有常见的6种错误:
1.假设波动率不变;
2.假设收益服从正态分布;
3.低估风险因子的数量;
4.假设完美的市场;
5.假设充足的流动性;
6.用错模型。
那么B是不是model risk?