Oaktree Capital Group chairman Howard Marks built his career largely on buying the unwanted debt of troubled companies, taking on the types of bets that might send risk-averse investors reaching for Pepto-Bismol.

But in his latest note to investors, Marks argues that the perceptions and realities of risk are often misunderstood. "The riskiest thing in the world is the widespread belief that there's no risk," according to Marks.