开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

金融民工阿聪 · 2022年07月27日

关于risk

NO.PZ2018111501000007

问题如下:

If the correlation between foreign-currency asset returns and movements in the exchange rate is increasing, the expected domestic-currency returns will:

选项:

A.

increase

B.

decrease

C.

unchange.

解释:

C is correct.

考点:Currency Risk & Portfolio Return and Risk

解析:correlation的增加会影响domestic-currency risk,而不会影响returns。写出公式就能理解了:

RDC=(1+RFC)(1+RFX)1R_{DC}=(1+R_{FC})(1+R_{FX})-1

σ2(RDC)σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFC,RFX)\sigma^2(R_{DC})\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC},R_{FX})

这里说道的domestic risk↑,能不能等价于foreign risk也↑呢

金融民工阿聪 · 2022年07月27日

补充下,就是问关于domestic-currency risk和foreign currency risk。 问:①我们这章对risk的衡量是否只考虑domestic-currency risk ②domestic-currency risk和foreign currency risk有关联性吗?

1 个答案
已采纳答案

Hertz_品职助教 · 2022年07月28日

嗨,努力学习的PZer你好:


同学你好

1.     我们先明确一下哈,投资外币资产,最终是要转回到本币的,所以说我们最终担心的还是本币的风险,也就是domestic-currency risk,这也是为什么我们求解的是永远是σ_Rdc。

只不过本币的风险受到外币资产的风险(σ_Rfc)还有汇率风险(σ_Rfx)的影响,具体的关系如下面公式所示:

2.     因此可以看到在同学最开始的那个问题“这里说道的domestic risk↑,能不能等价于foreign risk也↑呢”,是不可以替换的。

外币资产的风险,是投资外币资产本身的风险,比如投资股票会有股价涨跌的风险;汇率的风险也是,指的是两个币种汇率的变化。所以无法替换。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 364

    浏览
相关问题

NO.PZ2018111501000007 问题如下 If the correlation between foreign-currenasset returns anmovements in the exchange rate is increasing, the expectemestic-currenreturns will: increase crease unchange. C is correct.考点CurrenRisk Portfolio Return anRisk解析correlation的增加会影响mestic-currenrisk,而不会影响returns。写出公式就能理解了R=(1+RFC)(1+RFX)−1R_{}=(1+R_{FC})(1+R_{FX})-1R​=(1+RFC​)(1+RFX​)−1 ,σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFC,RFX)\sigma^2(R_{})\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC},R_{FX})σ2(R​)≈σ2(RFC​)+σ2(RFX​)+2σ(RFC​)σ(RFX​)ρ(RFC​,RFX​) 请问老师,Rfc和Rfx相关性增大,对R完全不产生影响,还是产生影响不确定,可能变大也可能变小?

2024-07-03 21:56 1 · 回答

NO.PZ2018111501000007 问题如下 If the correlation between foreign-currenasset returns anmovements in the exchange rate is increasing, the expectemestic-currenreturns will: increase crease unchange. C is correct.考点CurrenRisk Portfolio Return anRisk解析correlation的增加会影响mestic-currenrisk,而不会影响returns。写出公式就能理解了R=(1+RFC)(1+RFX)−1R_{}=(1+R_{FC})(1+R_{FX})-1R​=(1+RFC​)(1+RFX​)−1 ,σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFC,RFX)\sigma^2(R_{})\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC},R_{FX})σ2(R​)≈σ2(RFC​)+σ2(RFX​)+2σ(RFC​)σ(RFX​)ρ(RFC​,RFX​) 老师,如果相关性上升,不就意味着两者同涨或者同跌,感觉公式,同涨会使R上升,如果同跌,那负负得正,不也会使R上升

2024-05-22 16:44 1 · 回答

NO.PZ2018111501000007 问题如下 If the correlation between foreign-currenasset returns anmovements in the exchange rate is increasing, the expectemestic-currenreturns will: increase crease unchange. C is correct.考点CurrenRisk Portfolio Return anRisk解析correlation的增加会影响mestic-currenrisk,而不会影响returns。写出公式就能理解了R=(1+RFC)(1+RFX)−1R_{}=(1+R_{FC})(1+R_{FX})-1R​=(1+RFC​)(1+RFX​)−1 ,σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFC,RFX)\sigma^2(R_{})\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC},R_{FX})σ2(R​)≈σ2(RFC​)+σ2(RFX​)+2σ(RFC​)σ(RFX​)ρ(RFC​,RFX​) 根据公式,Rfc和Rfx都在上升,那R不是也在上升吗?R=(1+Rfc)*(1+Rfx)-1,前两项都变大,则R不应该也变大吗?

2022-12-16 11:10 1 · 回答

NO.PZ2018111501000007问题如下 If the correlation between foreign-currenasset returns anmovements in the exchange rate is increasing, the expectemestic-currenreturns will: increase crease unchange. C is correct.考点CurrenRisk Portfolio Return anRisk解析correlation的增加会影响mestic-currenrisk,而不会影响returns。写出公式就能理解了R=(1+RFC)(1+RFX)−1R_{}=(1+R_{FC})(1+R_{FX})-1R​=(1+RFC​)(1+RFX​)−1 ,σ2(R)≈σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFC,RFX)\sigma^2(R_{})\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC},R_{FX})σ2(R​)≈σ2(RFC​)+σ2(RFX​)+2σ(RFC​)σ(RFX​)ρ(RFC​,RFX​) • If the correlation 0, then Rec returns are amplifieRey returns, anit willin turn increases mestic investor's return volatility.• If the correlation 0, then Rec returns are mpeneRey returns, anitwill in turn creases mestic investor's return volatility.

2022-05-15 16:59 1 · 回答