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lynn666 · 2023年04月25日

a是什么意思

  1. FRM II
  2. Operational Risk and Resiliency

NO.PZ2016072602000028

问题如下：

Tower Bank approaches economic capital and risk aggregation by first estimating the stand-alone economic capital for individual risk factors. In a second step, the bank aggregates risks based on the relative amounts of economic capital allocated to these risks, taking into account the correlations between risk factors. Which of the following variables is not a primary driver of the diversification benefit that accrues from aggregation?

选项：

A.

The number of risk positions

B.

The size of the portfolio

C.

The concentration of those risk positions, or their relative weights in a portfolio

D.

The correlation between the positions

解释：

B is correct. A portfolio is generally more diversified when it has many positions, which are not too large, and with low correlations. Hence answers a., c., and d. involve drivers of diversification. In contrast, risk measures are homogeneous with the size of the portfolio. Doubling all the positions will double the risk of the portfolio.

如题。risk position是什么意思？

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品职答疑小助手雍 · 2023年04月26日

同学你好，比如衡量一个组合的风险。把这个组合（按风险因子）切成两部分分别衡量，就有2个risk position，切的越细，risk position越多，分散化效果也被发掘的更多。

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The size of the portfolio The concentration of those risk positions, or their relative weights in a portfolio The correlation between the positions B is correct. A portfolio is generally more versifiewhen it hmany positions, whiare not too large, anwith low correlations. Henanswers a., c., an involve ivers of versification. In contrast, risk measures are homogeneous with the size of the portfolio. ubling all the positions will uble the risk of the portfolio. 没太看懂 此题考察的是什么知识点？

2021-11-24 01:39 1 · 回答

Tower Bank approaches economic capitanrisk aggregation first estimating the stanalone economic capitfor invirisk factors. In a seconstep, the bank aggregates risks baseon the relative amounts of economic capitallocateto these risks, taking into account the correlations between risk factors. Whiof the following variables is not a primary iver of the versification benefit thaccrues from aggregation? The number of risk positions The size of the portfolio The concentration of those risk positions, or their relative weights in a portfolio The correlation between the positions B is correct. A portfolio is generally more versifiewhen it hmany positions, whiare not too large, anwith low correlations. Henanswers a., c., an involve ivers of versification. In contrast, risk measures are homogeneous with the size of the portfolio. ubling all the positions will uble the risk of the portfolio. C中position越集中，不是会导致相关性越高，然后risk越高吗

2020-08-27 22:05 1 · 回答

Tower Bank approaches economic capitanrisk aggregation first estimating the stanalone economic capitfor invirisk factors. In a seconstep, the bank aggregates risks baseon the relative amounts of economic capitallocateto these risks, taking into account the correlations between risk factors. Whiof the following variables is not a primary iver of the versification benefit thaccrues from aggregation? The number of risk positions The size of the portfolio The concentration of those risk positions, or their relative weights in a portfolio The correlation between the positions B is correct. A portfolio is generally more versifiewhen it hmany positions, whiare not too large, anwith low correlations. Henanswers a., c., an involve ivers of versification. In contrast, risk measures are homogeneous with the size of the portfolio. ubling all the positions will uble the risk of the portfolio. 没理解答案的，为什么选B可否再一下，我选B是因为里面没提到风险资产，而只是porfolio的size。

2020-03-18 16:06 1 · 回答

     number为什么会是一个可以分散化的变量呢，如果数量多然而又正相关且correlation大，也没有用吧

2019-07-30 15:06 2 · 回答