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cika · 2023年01月30日

Hedging tail risks

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NO.PZ202209060200004404

问题如下:

Which of Choate’s considerations regarding the precautions he can take in the portfolio is least likely correct?

选项:

A.Consideration 2 B.Consideration 1 C.Consideration 3

解释:

Solution

C is correct. Consideration 3 is incorrect. Hedging tail risks through portfolio diversification is not difficult to implement and only has modest incremental cost. Hedging with derivatives, such as credit default swaps, is effective but costly.

A is incorrect because Consideration 2 is correct.

B is incorrect because Consideration 1 is correct.

请问老师,Hedging tail risks through portfolio diversification is not difficult to implement,这句话对么。我怎么感觉这句话不对

2 个答案
已采纳答案

pzqa015 · 2023年01月30日

嗨,努力学习的PZer你好:


这句话是正确的,意思是通过diversification来分散尾部风险(尾部风险是指极端损失出现的风险)很容易,只要金融产品的流动性没问题,通过买入多个品种的金融产品来做分散化,是很容易实现的。

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加油吧,让我们一起遇见更好的自己!

506623496 · 2024年01月21日

老师可以举个例子吗,衍生品如何管理尾部风险

pzqa015 · 2024年01月21日

嗨,从没放弃的小努力你好:


持有流动性差的债券,用一份Pay fixed ,receive float的swap,对冲掉利率风险。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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