问题如下:
On another topic, Gerber is concerned that the scenario analysis models for the credit portfolio underestimate tail risk, and she asks Petit how to address this issue. Petit responds, “We can change the expected correlations between prices in our models to generate more extremely unusual outcomes.”
To address Gerber’s tail risk concern, Petit should recommend that expected correlations with their models:
选项:
A.decrease.
do not change.
increase.
解释:
C is correct.
Increasing the correlations would likely increase the number of extremely unusual outcomes and, thereby, increase estimated tail risk. Higher correlations in the model increase the dispersion of outcomes (effectively decreasing diversification).
“Higher correlations in the model increase the dispersion of outcomes”请问这句话怎么理解呢?