能解释一下吗？没看懂2为啥是错的。问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
妙悟先生品职答疑助手 · 2018年05月01日
在极端条件下相关性是上升的哦，而在平时相关性是较低的。一个很简单的例子，在经济情况稳定的时候各类资产的收益表现根据其自己的特性决定，之间的相关性并不是特别高，比如股票和债券，但是金融危机时期，金融风险是会不断传导的，一个债券违约，可能导致其他债券连锁违约，同时债券的违约和对整体经济的看衰也会导致股票市场的大幅下跌，这个时候大家的表现都是比较差的，此时相关性就上升了。
Flora · 2018年07月21日
老师，理解再危机的时候，相关性是上升的，那更加说明如果model中用的是长期的correlation，会underestimate风险啊。我觉得B选项没有错啊。是否我的理解还是不对？
NO.PZ2016070202000015 问题如下 Bren Williams is a risk analyst who wants to mol the pennbetween asset returns using copulanmust convinher manager ththis is the best approach. Whiof the following statements are correct?I. The pennbetween the return stributions of portfolio assets is criticfor risk measurement.II. Correlation estimates often appestable in perio of low market volatility anthen become volatile in stressemarket contions. Risk measures calculateusing correlations estimateover long horizons will therefore unrestimate risk in stresseperio.III. Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities.IV. Using copulas, one cconstrujoint return stribution functions from marginstribution functions in a wthallows for more genertypes of pennstructure of the asset returns. A.I, II, anIII B.II anIV C.I, II, III, anIV I, III, anIV is correct. The pennis critical, so statement I. is correct. The usuPearson correlation is a linemeasure of pennce, so statement III. is correct. Statement IV. is also correct. For statement II., correlations inechange over stresseperio, but it is not clewhether this biases long-term correlations upwaror wnwar Also, the effeon the portfolio risk pen on the positioning. Hence, there is not enough information to support statement II. 老师解析不是说A对的吗？那应该四个表述都对啊
NO.PZ2016070202000015问题如下 Bren Williams is a risk analyst who wants to mol the pennbetween asset returns using copulanmust convinher manager ththis is the best approach. Whiof the following statements are correct?I. The pennbetween the return stributions of portfolio assets is criticfor risk measurement.II. Correlation estimates often appestable in perio of low market volatility anthen become volatile in stressemarket contions. Risk measures calculateusing correlations estimateover long horizons will therefore unrestimate risk in stresseperio.III. Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities.IV. Using copulas, one cconstrujoint return stribution functions from marginstribution functions in a wthallows for more genertypes of pennstructure of the asset returns.A.I, II, anIIIB.II anIVC.I, II, III, anIVI, III, anIVis correct. The pennis critical, so statement I. is correct. The usuPearson correlation is a linemeasure of pennce, so statement III. is correct. Statement IV. is also correct. For statement II., correlations inechange over stresseperio, but it is not clewhether this biases long-term correlations upwaror wnwar Also, the effeon the portfolio risk pen on the positioning. Hence, there is not enough information to support statement II.老师，allows for more genertypes of pennstructure of the asset returns，是什么意思，是指原来累积概率分布G直接的相关性结构么？还是指转换为标准正态分布函数后的相关性结构？
NO.PZ2016070202000015问题如下Bren Williams is a risk analyst who wants to mol the pennbetween asset returns using copulanmust convinher manager ththis is the best approach. Whiof the following statements are correct?I. The pennbetween the return stributions of portfolio assets is criticfor risk measurement.II. Correlation estimates often appestable in perio of low market volatility anthen become volatile in stressemarket contions. Risk measures calculateusing correlations estimateover long horizons will therefore unrestimate risk in stresseperio.III. Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities.IV. Using copulas, one cconstrujoint return stribution functions from marginstribution functions in a wthallows for more genertypes of pennstructure of the asset returns.A.I, II, anIIIB.II anIVC.I, II, III, anIVI, III, anIVis correct. The pennis critical, so statement I. is correct. The usuPearson correlation is a linemeasure of pennce, so statement III. is correct. Statement IV. is also correct. For statement II., correlations inechange over stresseperio, but it is not clewhether this biases long-term correlations upwaror wnwar Also, the effeon the portfolio risk pen on the positioning. Hence, there is not enough information to support statement II.请问ii为什么不对。。。
NO.PZ2016070202000015 请问 Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities. 这个ratio of covarianto volatility 的结果不是β吗？
NO.PZ2016070202000015 以下个人理解，老师看看是否对 1.正常时期波动小，压力时候波动大，但是波动大可能导致ρ往下走得多，也可能导致ρ往上走得多。 2.正常时期ρ小，压力时期ρ大，这个只是大部分情况来说是这样，特殊情况有可能压力时期ρ减小？ 3.考虑ρ变大或者变小，还要考虑头寸的问题，例如全部投了equity，那么ρ变大反而是好的，风险会更小？ 所以综上所述，statement II就是错的，对吗？