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12345678wdv · 2024年11月10日

关于C 选项，知识框架图中将到危机的时候， the correlation 是下降的

  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。

如题，这个选项不是与 知识框架图中矛盾吗，请问如何理解



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1 个答案

pzqa27 · 2024年11月11日

嗨，努力学习的PZer你好：


不矛盾啊，框架图写的很清楚，在2005年的时候，相关性下降，那是危机的早期，评级机构只是下调一些公司的评级，导致好的更好，不好的更不好。而2007-2009是危机末期，大家都是在违约，所以相关性上升。

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