NO.PZ2023100703000067
问题如下：
A risk manager is discussing hedging correlation risk with his assistant. Which of the following statements is incorrect?选项：
A.The value of the correlation swap will increase for the correlation buyer if the realized correlation increases.
B.If correlation increases, one should receive fixed variance swap on an index and pay fixed in variance swap on individual components of index.
C.In recessions, one could enter a correlation swap as fixed correlation payer.
D.
In correlation swap, the realized correlation is the correlation between the assets that actually occurs during the time of the swap，which is calculated as:
解释：
B is incorrect. One way to buy correlation is to pay fixed in a variance swap on an index and to receive fixed in variance swaps on individual components of the index.In recessions, correlation levels typically increase. When correlation increase, the value for the correlation swap buyer (fixed correlation payer) will increase.不应该两种都是pay fix吗
