NO.PZ2019052801000097
问题如下：
Which of the following statement(s) is(are) correct?
I. Default correlations in CCPs are high among clearing members.
II. Investment risk arise from misspecification with respect to volatility, tail risk and wrong-way risk.
选项：
A.Only statement I is correct.
B.Only statement II is correct.
C.Both statements are correct.
D.Neither statement is correct.
解释：
A is correct.
考点：risks faced by CCPs
解析：Statement I正确，CCP成员之间的违约相关性是比较高的，一个成员的违约可能导致连锁反应。Statement II错误，这里说的是model risk而不是investment risk.
ccp的风险之一是model risk， 如果出现了model设计的错误，不就是造成了投资风险么？
如果不涉及，那投资风险又是什么呢？
客气额我觉得很难判断的是，到底问的是投资人的投资风险，还是ccp的风险？每太理解这种题目的出题思路。
