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saimeiei · 2022年05月26日

想问一下D

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

2 个答案

李坏_品职助教 · 2022年05月27日

嗨,爱思考的PZer你好:


嗯,D的叙述的确有点问题,是比较弱的相关性。

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李坏_品职助教 · 2022年05月26日

嗨,爱思考的PZer你好:


这里负相关指的是CDO的底层equity部分和优先级部分的价值是负相关的。在经济较好的情况下,senior部分的现金流和普通的固定利息债券差不多,投资人倾向于购买风险较高收益也高的equity tranche,资金从senior部分转移到equity部分。


其实类似于现实中的债券和股票,经济好的时候股票和债券资金之间存在博弈。一旦出现crisis,equity和senior一起崩盘了。。。

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saimeiei · 2022年05月27日

如果从债券价值考虑,经济好的时候,价值都会增加,且equity 价值涨的更多,只有经济差的时候,都一起跌,因为都是公司债,fly to q也不是优先级,应该是国债

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