Which of the Following Statements Is True

Multiple Choice

Which of the following statements is true?

A) The risk of a loan reflects the volatility of the loan's default rate around its expected value times the amount lost given default.
B) The product of the volatility of the default rate and the loss give default (LGD) is called the 'unexpected loss'.
C) The product of the volatility of the default rate and the loss give default (LGD) is a measure of the loan's risk.
D) All of the listed options are correct.