问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
没有理解选项II的意思
品职答疑小助手雍 · 2019年09月10日
同学你好，II选项说“correlation在平静时期波动小和stress变化大，所以使用long horizon的correlation来做估计会低估stress时期的风险”。
前一句话是没问题的，但是后一句话里，根据长期计算出的相关性，我们并不能知道是偏高还是偏低，因为可能近期我们预估的相关性是低的，而远期我们预估的相关性是高的，这样基于长期算出的相关性，就偏高了呀。而且一个投资组合中，是有多项资产的，两两资产间具有相关性，并且还得考虑各资产的大小。所以第二个命题是错的
moon · 2019年09月11日
不是很能理解什么是近期预估的和远期预估的这两个情况，题目里明确说了in stressed situation，在stressed的情况下correlation理论上是上升的，但是用长期correlation来估计的时候由于长期里包括了经济好的时候（也就是correlation低的时候）这样长期的correlation就变低了，为什么不是低估呢？
品职答疑小助手雍 · 2019年09月11日
注意第一句话说的是波动性大，而不是绝对的数值大，所以估计的长期的correlation我们也没法知道大小，而这个无法知道大小的值和stress时这个波动性大的值（也不知道大小）是无法比较的。
NO.PZ2016070202000015 问题如下 Bren Williams is a risk analyst who wants to mol the pennbetween asset returns using copulanmust convinher manager ththis is the best approach. Whiof the following statements are correct?I. The pennbetween the return stributions of portfolio assets is criticfor risk measurement.II. Correlation estimates often appestable in perio of low market volatility anthen become volatile in stressemarket contions. Risk measures calculateusing correlations estimateover long horizons will therefore unrestimate risk in stresseperio.III. Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities.IV. Using copulas, one cconstrujoint return stribution functions from marginstribution functions in a wthallows for more genertypes of pennstructure of the asset returns. A.I, II, anIII B.II anIV C.I, II, III, anIV I, III, anIV is correct. The pennis critical, so statement I. is correct. The usuPearson correlation is a linemeasure of pennce, so statement III. is correct. Statement IV. is also correct. For statement II., correlations inechange over stresseperio, but it is not clewhether this biases long-term correlations upwaror wnwar Also, the effeon the portfolio risk pen on the positioning. Hence, there is not enough information to support statement II. 老师解析不是说A对的吗？那应该四个表述都对啊
NO.PZ2016070202000015问题如下 Bren Williams is a risk analyst who wants to mol the pennbetween asset returns using copulanmust convinher manager ththis is the best approach. Whiof the following statements are correct?I. The pennbetween the return stributions of portfolio assets is criticfor risk measurement.II. Correlation estimates often appestable in perio of low market volatility anthen become volatile in stressemarket contions. Risk measures calculateusing correlations estimateover long horizons will therefore unrestimate risk in stresseperio.III. Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities.IV. Using copulas, one cconstrujoint return stribution functions from marginstribution functions in a wthallows for more genertypes of pennstructure of the asset returns.A.I, II, anIIIB.II anIVC.I, II, III, anIVI, III, anIVis correct. The pennis critical, so statement I. is correct. The usuPearson correlation is a linemeasure of pennce, so statement III. is correct. Statement IV. is also correct. For statement II., correlations inechange over stresseperio, but it is not clewhether this biases long-term correlations upwaror wnwar Also, the effeon the portfolio risk pen on the positioning. Hence, there is not enough information to support statement II.老师，allows for more genertypes of pennstructure of the asset returns，是什么意思，是指原来累积概率分布G直接的相关性结构么？还是指转换为标准正态分布函数后的相关性结构？
NO.PZ2016070202000015问题如下Bren Williams is a risk analyst who wants to mol the pennbetween asset returns using copulanmust convinher manager ththis is the best approach. Whiof the following statements are correct?I. The pennbetween the return stributions of portfolio assets is criticfor risk measurement.II. Correlation estimates often appestable in perio of low market volatility anthen become volatile in stressemarket contions. Risk measures calculateusing correlations estimateover long horizons will therefore unrestimate risk in stresseperio.III. Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities.IV. Using copulas, one cconstrujoint return stribution functions from marginstribution functions in a wthallows for more genertypes of pennstructure of the asset returns.A.I, II, anIIIB.II anIVC.I, II, III, anIVI, III, anIVis correct. The pennis critical, so statement I. is correct. The usuPearson correlation is a linemeasure of pennce, so statement III. is correct. Statement IV. is also correct. For statement II., correlations inechange over stresseperio, but it is not clewhether this biases long-term correlations upwaror wnwar Also, the effeon the portfolio risk pen on the positioning. Hence, there is not enough information to support statement II.请问ii为什么不对。。。
NO.PZ2016070202000015 请问 Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities. 这个ratio of covarianto volatility 的结果不是β吗？
NO.PZ2016070202000015 以下个人理解，老师看看是否对 1.正常时期波动小，压力时候波动大，但是波动大可能导致ρ往下走得多，也可能导致ρ往上走得多。 2.正常时期ρ小，压力时期ρ大，这个只是大部分情况来说是这样，特殊情况有可能压力时期ρ减小？ 3.考虑ρ变大或者变小，还要考虑头寸的问题，例如全部投了equity，那么ρ变大反而是好的，风险会更小？ 所以综上所述，statement II就是错的，对吗？