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苏格拉底二徒弟🦦 · 2023年05月18日

配对交易 copulas

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

1 个答案
已采纳答案

DD仔_品职助教 · 2023年05月18日

嗨,努力学习的PZer你好:


同学你好,

Gaussian Copulas是用来衡量静态违约相关性,配对交易是动态策略,需要一直调整持仓,所以不行。

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努力的时光都是限量版,加油!

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NO.PZ2022071105000015 问题如下 A newly hirerisk analyst a large investment bank is examining how financicorrelation risk affects thebank’s portfolios. The bank hol portfolios consisting of fferent types of assets anenters into variousheing contracts with multiple counterparties. Whiof the following statements woulthe analyst becorreto make? A.The buyer of a C faces wrong-wrisk when there is a positive fault correlation between the referenasset anthe C counterparty. B.The risk-austereturn of a portfolio typically increases when correlations of assets in the portfolio increase. C.namic correlation risk in a portfolio of pairs tras is most appropriately estimateusing Gaussicopulas. Correlation risk is highest ring perio of relatively benign market movements when correlations are fficult to prect. 中文解析A是正确的。当标的资产和C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。GaussiCopulas可以用来衡量C的静态违约相关性,不能用于配对交易。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-wrisk arises when there is a positive fault correlation betweenthe referenasset anthe C counterparty.B is incorrect. The lower the correlation between the assets in a portfolio, the higher thereturn/risk (risk-austereturns) ratio.C is incorrect. Gaussicopulare useto measure the static fault correlation risk ofCs, they woulnot usein a portfolio of pairs tras.is incorrect. Perio of systemic crises have the highest correlation risk the change incorrelation is often highest in these crises correlations move closer to 1. 如题

2024-03-16 12:48 2 · 回答