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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。

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努力的时光都是限量版,加油!

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