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Which of the following statements regarding contagion risk is least accurate? A. Portfolio diversification tends to offset increasing default correlations during periods of financial crises. B. Information regarding the business interactions between banks makes estimating contagion risk relatively cumbersome. C. Contagion risk describes the risk of unexpected changes in correlations among different borrowers within a portfolio. D. Contagion risk may result from an increasing dependence of one borrower on the default of another within the portfolio. |