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轧称的棉花糖 · 2019年09月14日

问一道题:NO.PZ2016072602000029

题目问简单相加的方法,为何风险对应的capital很低,应该是忽略了相关性啊?B选项翻译是它忽略了三种风险/?没读懂

问题如下图:

    

选项:

A.

B.

C.

D.

解释:



1 个答案
已采纳答案

品职答疑小助手雍 · 2019年09月15日

同学你好,题目问的是估出来的capital为什么会偏低(too little)。

既然都直接用直接相加了,那么相关性肯定是用的1,这样现有的三大风险直接相加得到的capital理应是最大的。

但是题目问为什么还被低估(为依旧被低估找个理由),那B选项说他还有些风险没有识别,也就没有加在capital里所以现在capital还偏小。这个解释就很合理了。

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