我直接定性判断

问题如下：

A financial firm conducts several trades. As part of its risk control, it has entered into netting agreements on 10 equity trade positions with an average correlation of 0.35. The firm believes that it can improve upon the diversification benefit of netting by a judicious choice of number of exposures with a favorable correlation coefficient. Which of the following trade combinations would increase the firm’s expected netting benefit the most from the current level?

选项：

A.

Trade combination A

B.

Trade combination B

C.

Trade combination C

D.

Trade combination D

解释：

Trade combination c is the correct answer. Netting factor is expressed as:

When n (number of positions) = 10 and r (correlation coefficient) = 0.35 (current position),

When n = 11 and r = – 0.07 , there is the most reduction in netting factor,

a is incorrect. When n = 5 and r= 0.22, there is only a modest netting benefit:

b is incorrect. When n = 7 and r= 0.10, there is reduction in netting factor but not as much as in c,

d is incorrect. When n = 14 and r= –0.03, there is a reasonable reduction in netting factor but not as much as in c,