credit risk和volatility risk

嗨，从没放弃的小努力你好：

明白了。credit risk and volatility risk factors 只是在这个题目条件中认为是高相关的，并且由于这个模型中creidt risk factor的R2很高，所以exclude了 vol factor。但这并不是普遍适用的原理，对吧？因为看其他的conditional factor model题目中，同时看到credit 和 vol factor。

同学理解正确，这不是普遍的原理。只是这道题里的已知条件，只适用这道题。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

嗨，爱思考的PZer你好：

老师，这题对应哪个知识点啊？C选项，credit risk和volatility risk默认是联动/高相关性的吗？题目说exclude volatility risk具体是指什么意思啊，具体做法是什么啊？

Hello，亲爱的同学！

这题对应业绩归因的知识点。我们先看这句话：

During the construction and monitoring of First Ocean’s strategies, Chang and the other analysts use a linear factor model to understand risk exposures. Chang constructs the model using the following macro-risk factors: equity risk, interest rate risk, commodity risk, credit risk, and volatility risk. In explaining the model to his peers, Chang states that the portion of hedge fund returns not explained by these risk factors is attributable to either manager alpha or random error. The credit risk and volatility risk factors are exhibiting high degrees of correlation. To solve for the multicollinearity problem, Chang excludes the volatility risk factor because the model has a higher R2 when including the credit risk rather than the volatility risk.

Chang得出结论，无法解释的回报归因于阿尔法或随机错误。这句话成立是有前提的，就是我们的回归方程是完备的。在本题中，使用的是equity risk, interest rate risk, commodity risk, credit risk, and volatility risk来解释回报率，那么可能回报率还有其他因子能解释，例如汇率因子也可能影响回报率。如果漏了因子，则不一定未解释部分就是alpha和残差。

因为题目中有The credit risk and volatility risk factors are exhibiting high degrees of correlation这句话，这是前提已知条件，所以credit risk和volatility risk是联动/高相关性的。

exclude volatility risk就是把波动率因子从回归方程中去除。

例如：原来的回归方程：

portfolio Retun = C1*equity risk factor + C2* interest rate risk factor + C3* commodity risk factor + C4*credit risk factor + C5*volatility risk factor

则exclude volatility risk的具体做法就是把上述回归方程中的C5*volatility risk factor去掉，改成下面的方程：

portfolio Retun = C1*equity risk factor + C2* interest rate risk factor + C3* commodity risk factor + C4*credit risk factor。

最后临近考试了，祝同学考试顺利！

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加油吧，让我们一起遇见更好的自己！