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Kokonoi Hajime · 2025年07月02日

为什么

NO.PZ2023010409000026

问题如下:

Foresight InternationalAssurance is an international multiline insurance conglomerate. Under itsoverall strategic financial plan, it computes the annualized standard deviationof returns on investment assets as 5.0% and on liabilities as 2.5%. The bulk ofits liabilities are constituted by the net present value of expected claimspayouts. The correlation between asset and liability returns is therefore avery low 0.25. Foresight’s common equity to financial assets ratio is 20.0%.

What is thestandard deviation of changes in the value of Foresight’s shareholdercapitalization?

解释:

We use Equation 9 recognizing that A ÷ E = 1/0.20 = 5; (A ÷ E) –1 = 4;

the standard deviation of asset returns;

the standard deviation of changes in liability values;

and the correlation between asset and liability value changes (ρ)= 0.25.

the variance of shareholders’ capital value changes:

The standard deviation of shareholder capital valuation change is the square root of the variance.


是减去correlation的部分而不是加上

1 个答案

Lucky_品职助教 · 2025年07月02日

嗨,努力学习的PZer你好:


是因为,E=A-L啊,把它变成方差的形式后,就是减去correlation的部分。

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