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wilsonxu · 2021年08月24日

老师，麻烦可以解释一下A吗？谢谢！

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000059

问题如下：

The dependence structure between the returns of financial assets plays an important role in risk measurement. For liquid markets, which of the following statements is incorrect?

选项：

A.

Correlation is a valid measure of dependence between random variables for only certain types of return distributions.

B.

Even if the return distributions of two assets have a correlation of zero, the returns of these assets are not necessarily independent.

C.

Copulas make it possible to model marginal distributions and the dependence structure separately. 

D.

Correlation estimates based on short lookback horizons (three months or less) are typically very stable.

解释：

D is correct.

考点 ： Copula Functions

解析：D选项涉及correlation有关的结论，correlation在经济好的时候比较低，在经济差的时候会增加，所以短期的相关性系数是不稳定的。

老师，麻烦可以解释一下A吗？谢谢！
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品职答疑小助手雍 · 2021年08月24日

嗨，从没放弃的小努力你好：


A的意思是correlation只对一些特定的收益分布的相关性分析有效。

考纲中用的correlation确实是只针对一些特定的分布才能算出来的，遇到非特定的分布要mapping成特定的分布。

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NO.PZ2018122701000059 问题如下 The pennstructure between the returns of financiassets plays important role in risk measurement. For liquid markets, whiof the following statements is incorrect? Correlation is a valimeasure of pennce between ranm variables for only certain types of return stributions. Even if the return stributions of two assets have a correlation of zero, the returns of these assets are not necessarily inpennt. Copulmake it possible to mol marginal stributions anthe pennstructure separately.  Correlation estimates baseon short lookbahorizons (three months or less) are typically very stable. is correct. 考点 Copula Functions解析及correlation有关的结论，correlation在经济好的时候比较低，在经济差的时候会增加，所以短期的相关性系数是不稳定的。 necessarily inpennt是啥意思。。。

2024-04-23 05:16 1 · 回答

NO.PZ2018122701000059 短期内经济不会发生大的变动，为什么correlation estimate不是stable的呢？

2021-08-01 11:37 1 · 回答

Even if the return stributions of two assets have a correlation of zero, the returns of these assets are not necessarily inpennt. Copulmake it possible to mol marginstributions anthe pennstructure separately.  Correlation estimates baseon short lookbahorizons (three months or less) are typically very stable. is correct. 考点 Copula Functions 解析及correlation有关的结论，correlation在经济好的时候比较低，在经济差的时候会增加，所以短期的相关性系数是不稳定的。 麻烦老师一下C什么意思？

2021-01-15 08:24 2 · 回答