问题如下:
Chen is a fixed-income analyst in a securities firm. He is doing a scenario analysis for his company’s high-yield bond holdings. Chen believes that because this scenarios analysis model underestimates the risk that the portfolio takes, the tail risk calculated from the model is not reliable. According to the information above, to address Chen’s concern, what should he do for the scenario analysis model?
选项:
A.increase the correlations in the portfolio.
B.decrease the correlations in the portfolio.
C.do not change the correlations in the portfolio.
解释:
A is correct
考点:情景分析时,Correlation的影响
解析:因为Chen认为,情景分析模型低估了风险,所以提高Portfolio内各成份间的Correlation可以测得更为极端的数据。
这题考点是啥?