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上小学 · 2023年08月04日

请问此题目在问什么？谢谢

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000042

问题如下：

During the 2007-2009 global financial crisis, traders and risk managers used copula to model correlations, but the models and the economy actually differed greatly, which also led to incorrect estimates of structured product risks , Which of the following statements is the least likely to explain the failure of the copula model during the financial crisis?

选项：

A.

During the financial crisis, correlations for senior tranches of CDOs stays constant.

B.

The copula correlation model was calibrated using data from low-risk time periods..

C.

During the financial crisis, correlations for both equity and mezzanine tranches of CDOs increased.

D.

The copula correlation model assumes that the CDO equity tranche and senior tranche are negatively correlated.

解释：

A is correct.

考点：copula function

解析：金融危机时，整个环境都在恶化，各个senior层内的违约情况也都在增高，senior层之间的correlation也在上升。

请问题目需要怎样解答，AC选项都不对，为什么只选A？

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李坏_品职助教 · 2023年08月04日

嗨，努力学习的PZer你好：


题目说的是：在金融危机期间，copula函数（一种用来计算资产之间相关系数的函数）失效了，下列哪一个选项最不可能解释copula失效？


在金融危机期间，senior层级的债券违约也在上升，大家一起违约，correlation是在上升而不是stay constant，所以A选项表述错误。本题就是要选一个“表述错误”的选项，所以选A。


07-09年的金融危机期间，equity和mezzanine的相关性的确是上升的，C表述没问题，所以不选C。（基础班讲义里提到的correlations decreased是2005年的时候）。


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