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Lucrecia1004 · 2020年02月25日

问一道题:NO.PZ2019103001000075

问题如下:


On another topic, Gerber is concerned that the scenario analysis models for the credit portfolio underestimate tail risk, and she asks Petit how to address this issue. Petit responds, “We can change the expected correlations between prices in our models to generate more extremely unusual outcomes.”

To address Gerber’s tail risk concern, Petit should recommend that expected correlations with their models:

选项:

A.

decrease.

B.

do not change.

C.

increase.

解释:

C is correct.

Increasing the correlations would likely increase the number of extremely unusual outcomes and, thereby, increase estimated tail risk. Higher correlations in the model increase the dispersion of outcomes (effectively decreasing diversification).

“Higher correlations in the model increase the dispersion of outcomes”请问这句话怎么理解呢?

1 个答案

发亮_品职助教 · 2020年02月26日

嗨,努力学习的PZer你好:


““Higher correlations in the model increase the dispersion of outcomes”请问这句话怎么理解呢?”


他是害怕在做情景分析时,低估了尾部风险(Tail risk),所以问如何解决。

解决的方法就是把组合内资产的相关系数放大,极限就是把资产的相关性放大到1,这样如果一个资产违约,组合内的资产全部违约,这就是会产生的最极限的损失。

同时,资产的相关性这么高为1,如果一个资产不违约大家就都不违约,于是会产生最大的收益;

这样Portfolio的可能产生收益的Range就很大,这就是这句话的意思。


如果说组合内部资产的相关性降低,那就会产生分散化的效果,使得组合的收益较为稳定在一个区间,缩小了收益可能的Range。同时,分散化效果比较好的话,尾部风险的损失也会比较少。


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