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Dorothy · 2020年03月18日

问一道题：NO.PZ2016072602000028

  1. FRM II
  2. Operational Risk and Resiliency

问题如下：

Tower Bank approaches economic capital and risk aggregation by first estimating the stand-alone economic capital for individual risk factors. In a second step, the bank aggregates risks based on the relative amounts of economic capital allocated to these risks, taking into account the correlations between risk factors. Which of the following variables is not a primary driver of the diversification benefit that accrues from aggregation?

选项：

A.

The number of risk positions

B.

The size of the portfolio

C.

The concentration of those risk positions, or their relative weights in a portfolio

D.

The correlation between the positions

解释：

B is correct. A portfolio is generally more diversified when it has many positions, which are not too large, and with low correlations. Hence answers a., c., and d. involve drivers of diversification. In contrast, risk measures are homogeneous with the size of the portfolio. Doubling all the positions will double the risk of the portfolio.

没理解答案的解释，为什么选B可否再解释一下，我选B是因为里面没提到风险资产，而只是porfolio的size。

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1 个答案

袁园_品职助教 · 2020年03月19日

同学你好！

这里的risk可以理解成组合标准差的意思。当整个组合的size变大时，就相当于是总金额变大了，但因为其他都不变，所以整个组合的标准差就会同比例的变大。

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NO.PZ2016072602000028问题如下 Tower Bank approaches economic capitand risk aggregation first estimating the stanalone economic capitfor invirisk factors. In a seconstep, the bank aggregates risks baseon the relative amounts of economic capitallocateto these risks, taking into account the correlations between risk factors. Whiof the following variables is not a primary iver of the versification benefit thaccrues from aggregation? The number of risk positions The size of the portfolio The concentration of those risk positions, or their relative weights in a portfolio The correlation between the positions B is correct. A portfolio is generally more versifiewhen it hmany positions, whiare not too large, anwith low correlations. Henanswers a., c., and involve ivers of versification. In contrast, risk measures are homogeneous with the size of the portfolio. ubling all the positions will uble the risk of the portfolio. 如题。risk position是什么意思？

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The size of the portfolio The concentration of those risk positions, or their relative weights in a portfolio The correlation between the positions B is correct. A portfolio is generally more versifiewhen it hmany positions, whiare not too large, anwith low correlations. Henanswers a., c., an involve ivers of versification. In contrast, risk measures are homogeneous with the size of the portfolio. ubling all the positions will uble the risk of the portfolio. 没太看懂 此题考察的是什么知识点？

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