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稳过盼 · 2023年02月09日

对于选择A

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000042

问题如下：

During the 2007-2009 global financial crisis, traders and risk managers used copula to model correlations, but the models and the economy actually differed greatly, which also led to incorrect estimates of structured product risks , Which of the following statements is the least likely to explain the failure of the copula model during the financial crisis?

选项：

A.

During the financial crisis, correlations for senior tranches of CDOs stays constant.

B.

The copula correlation model was calibrated using data from low-risk time periods..

C.

During the financial crisis, correlations for both equity and mezzanine tranches of CDOs increased.

D.

The copula correlation model assumes that the CDO equity tranche and senior tranche are negatively correlated.

解释：

A is correct.

考点：copula function

解析：金融危机时，整个环境都在恶化，各个senior层内的违约情况也都在增高，senior层之间的correlation也在上升。

问题是最不可能解释失败的，A选项说是correlation维持constant，而危机下是会变动的，那A不就是有问题，所以会导致失败吗？为什么还要选A呢

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2 个答案

pzqa27 · 2023年02月27日

嗨，努力学习的PZer你好：


同学您好，4等和5等代表我回答有重大问题，需要我们再回复一下，请同学明示下您认为哪里有问题，我会认真听取您的需求。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa27 · 2023年02月10日

嗨，爱思考的PZer你好：


题目问的是最不可能解释失败的，也就是让我们选一个没法解释失败的选项。A选项说是correlation维持constant，您自己也说了“而危机下是会变动的，那A不就是有问题”，所以A压根没有解释Coupula的失败，A说的都是错的，所以这个题选A

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努力的时光都是限量版，加油！

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