NO.PZ2020033001000042
问题如下:
During the 2007-2009 global financial crisis, traders and risk managers used copula to model correlations, but the models and the economy actually differed greatly, which also led to incorrect estimates of structured product risks , Which of the following statements is the least likely to explain the failure of the copula model during the financial crisis?
选项:
A.
During the financial crisis, correlations for senior tranches of CDOs stays constant.
B.
The copula correlation model was calibrated using data from low-risk time periods..
C.
During the financial crisis, correlations for both equity and mezzanine tranches of CDOs increased.
D.
The copula correlation model assumes that the CDO equity tranche and senior tranche are negatively correlated.
解释:
A is correct.
考点:copula function
解析:金融危机时,整个环境都在恶化,各个senior层内的违约情况也都在增高,senior层之间的correlation也在上升。
相当于正常情况下,equity和优先级是负相关的?这里的负相关是指什吗?我理解是正相关,只是相关性不那么强而已,所以可以用long short策略