NO.PZ2022062760000019
问题如下：
A credit risk manager is in charge of credit risk analysis of large corporates at Bank XYZ. The manager is in possession of credit ratings provided by two rating agencies, X and Y, for 30 companies the manager oversees. The ratings are classified into four categories:
The manager plots the rating categories from the two agencies as shown below:
Which of the following statistical measures could best help the manager approximate the link between rating
categories from the two agencies?
选项：
A.
Spearman correlation
B.
Pearson correlation
C.
Structured correlation matrix
D.
Covariance
解释：
中文解析：
pearson相关、相关矩阵和协方差用于衡量线性相关变量之间的相关程度。
该问题中的信用评级是有序数据，并且具有如图所示的非线性关系。因此，Spearman 相关是指示一个变量是否与另一个变量单调相关的更好度量。
Pearson correlation, correlation matrix and covariance are used to measure the degree of
the relationship between linearly related variables. The credit ratings in this question are
ordinal data and have a nonlinear relationship as showed in the graph. Hence, the
Spearman correlation is a better measure to indicate if one variable is monotonically
related to the other variable.
选项都在讲义哪里啊？
