NO.PZ2022071105000015
问题如下:
A newly hired risk analyst at a large investment bank is examining how financial correlation risk affects the
bank’s portfolios. The bank holds portfolios consisting of different types of assets and enters into various
hedging contracts with multiple counterparties. Which of the following statements would the analyst be
correct to make?
选项:
A.
The buyer of a CDS faces wrong-way risk when there is a positive default correlation between the
reference asset and the CDS counterparty.
B.
The risk-adjusted return of a portfolio typically increases when correlations of assets in the portfolio
increase.
C.
Dynamic correlation risk in a portfolio of pairs trades is most appropriately estimated using Gaussian
copulas.
D.
Correlation risk is highest during periods of relatively benign market movements when correlations are
difficult to predict.
解释:
中文解析:
A是正确的。当标的资产和CDS对手方之间存在违约相关性的时候,会出现WWR。
B是错误的。资产组合中的各项资产之间的相关性越低,收益/风险的比例就越大。
C是错误的。Gaussian Copulas可以用来衡量CDO的静态违约相关性,不能用于配对交易。
D是错误的。在发生系统性风险时,各资产大类之间的相关系数才是最高的,甚至接近于1.
A is correct. Wrong-way risk arises when there is a positive default correlation between
the reference asset and the CDS counterparty.
B is incorrect. The lower the correlation between the assets in a portfolio, the higher the
return/risk (risk-adjusted returns) ratio.
C is incorrect. Gaussian copulas are used to measure the static default correlation risk of
CDOs, they would not be used in a portfolio of pairs trades.
D is incorrect. Periods of systemic crises have the highest correlation risk as the change in
correlation is often highest in these crises as correlations move closer to 1.
请问为什么copula不能estimate 配对交易呢?c不太理解