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中二 · 2020年02月13日

问一道题:NO.PZ2016070201000042 [ FRM II ]

问题如下:

New copula correlation models were used by traders and risk managers during the 2007-2009 global financial crisis. This led to miscalculations in the underlying risk for structured products such as collateralized debt obligation (CDO) models. Which of the following statements least likely explains the failure of these new copula correlation models during the financial crisis?

选项:

A.

The copula correlation models assumed a negative correlation between the equity and senior tranches of CDOs.

B.

Correlations for equity tranches of CDOs increased during the financial crisis.

C.

The correlation copula models were calibrated with data from time periods that had low risk.

D.

Correlations for senior tranches of CDOs decreased during the financial crisis.

解释:

D is correct. During the crisis, the correlations for both the equity and senior tranches of CDOs significantly increased causing losses in value for both.

这道题对比前面的31题我有点晕…所以说,讲义99页说bonds in CDOs的correlation是在下降的,那么这里相关性上升是指各个层级内的相关性上升么?

1 个答案

品职答疑小助手雍 · 2020年02月14日

同学你好,2008经济危机期间,senior tranche内bond的违约相关性是上升的,因此D选项错误

这题也涉及信用风险了。