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natalie2003 · 2020年02月08日

问一道题:NO.PZ201512020300000706

* 问题详情,请 查看题干

问题如下:

Maxwell’s justifications for her choice of simulation analysis are correct with respect to:

选项:

A.

correlated risks.

B.

continuous risks.

C.

both correlated risks and continuous risks.

解释:

C is correct. Correlated risks are difficult to model in decision trees. In addition, adjusting scenario analysis for correlated risks is subjective. Scenario analysis and decision trees are generally built around discrete outcomes in risky events, whereas simulations are better suited for continuous risks. Further, if the various risks to which an investment is exposed are correlated, simulations allow for explicitly modeling these correlations if they can be estimated.

老师您好,题中不是说了“neither can be used easily when correlated variables are present, as is the case with CSI and ECI“么,为什么correlated risks还是对的呢?

1 个答案

星星_品职助教 · 2020年02月09日

同学你好,

这道题问选用simulation的方法的原因是什么,正是因为有correlated risk,所以才导致类似decision tree这种方法不能用。