NO.PZ2018062006000152
问题如下:
Credit risk is composed of:
选项:
A. market liquidity risk and spread risk.
B. default probability and loss severity.
C. default probability and spread risk.
解释:
B is correct.
Credit risk is composed of default probability and loss severity. Market liquidity risk and spread risk are credit-related risks, and credit risk does not consist of them.
考点:信用风险
解析:信用风险的两个组成部分:一个是PD(违约概率),另一个是LGD(一旦违约的损失程度)。故选项B正确。
这个不是default risk的公式嘛 讲义里credit risk是和spread risk 和 market liquidity risk相关的