NO.PZ2020011303000131
问题如下:
The standard deviations of the losses on three loans are all 1.5. Loan 1 and Loan 2 are uncorrelated. There is a correlation of 0.2 between Loan 1 and Loan 3, and a correlation of 0.5 between Loan 2 and Loan 3. Calculate the
解释:
The variance is
1.52 +1.52 +1.52+2×0.2×1.5×1.5+2×0.5×1.5×1.5 = 9.9
The standard deviation is the square root of this or 3.146.
就好像答案忽略了权重的影响