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金融民工阿聪 · 2020年08月27日

问一道题：NO.PZ2016072602000028

  1. FRM II
  2. Operational Risk and Resiliency

问题如下：

Tower Bank approaches economic capital and risk aggregation by first estimating the stand-alone economic capital for individual risk factors. In a second step, the bank aggregates risks based on the relative amounts of economic capital allocated to these risks, taking into account the correlations between risk factors. Which of the following variables is not a primary driver of the diversification benefit that accrues from aggregation?

选项：

A.

The number of risk positions

B.

The size of the portfolio

C.

The concentration of those risk positions, or their relative weights in a portfolio

D.

The correlation between the positions

解释：

B is correct. A portfolio is generally more diversified when it has many positions, which are not too large, and with low correlations. Hence answers a., c., and d. involve drivers of diversification. In contrast, risk measures are homogeneous with the size of the portfolio. Doubling all the positions will double the risk of the portfolio.

C中position越集中，不是会导致相关性越高，然后risk越高吗

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1 个答案

品职答疑小助手雍 · 2020年08月28日

嗨，爱思考的PZer你好：


题目问的是not 的，集中度是driver之一，所以不选。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


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NO.PZ2016072602000028问题如下 Tower Bank approaches economic capitand risk aggregation first estimating the stanalone economic capitfor invirisk factors. In a seconstep, the bank aggregates risks baseon the relative amounts of economic capitallocateto these risks, taking into account the correlations between risk factors. Whiof the following variables is not a primary iver of the versification benefit thaccrues from aggregation? The number of risk positions The size of the portfolio The concentration of those risk positions, or their relative weights in a portfolio The correlation between the positions B is correct. A portfolio is generally more versifiewhen it hmany positions, whiare not too large, anwith low correlations. Henanswers a., c., and involve ivers of versification. In contrast, risk measures are homogeneous with the size of the portfolio. ubling all the positions will uble the risk of the portfolio. 如题。risk position是什么意思？

2023-04-25 16:16 1 · 回答

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2021-11-24 01:39 1 · 回答

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2020-03-18 16:06 1 · 回答

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