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.
不是只有在经济不好的时候，可能会发生会员集体违约吗？如果说CCP成员之间的违约相关性很高，那OTC成员之间的违约相关性岂不是更高了？
