为什么同时持有long和short cerrelation 高风险低?
问题如下图:
选项:
A.
B.
C.
D.
解释:
NO.PZ2016071602000016问题如下 A relative value hee funmanager hol a long position in asset A ana short position in asset B of roughly equprincipamounts. Asset A currently ha correlation with asset B of 0.97. The risk manager cis to overwrite this correlation assumption in the variance-covariance-baseVmol to a level of 0.30. Wheffewill this change have on the resulting Vmeasure?A.It increases VAR.B.It creases VAR.C.It hno effeon VAR, but changes profit or loss of strategy.There is not enough information to answer.A is correct. Because the position is both long anshort, high correlation implies low risk. Conversely, lowering correlation increases risk.但是哈,组合求var的公式最后不是加上correlation* var1*var2吗,correlation上升,从公式看,不是应该 var增大吗
啥是 variance-covariance-baseVmol
题干中,“the risk manager cis to overwrte........Vmol to a level of 0.3”是什么意思呢,会影响A和B的correlation 吗
为什么高相关性本题中对应低风险?