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菱秋秋 · 2021年09月04日

请问答案解析里提到的risk compounding是什么意思

NO.PZ2020033001000090

问题如下:

There are two approaches to calculate risks. In the top-down approach, a bank's portfolio is assumed to be divided into market, credit, and operational risk measures. In the bottom-up approach, interactions among various risk factors are being considered. Different approaches have different assumptions on risk diversification. According to the academic studies which are trying to evaluate the ratio of integrated risks to separate risks, which of the following statements is least accurate?

选项:

A.Top-down studies calculate this ratio to be less than one, which suggests that risk diversification is present and ignored by the separate approach. B.

Top-down studies calculate this ratio to be greater than one, which suggests that risk diversification is present and ignored by the separate approach.

C.

Bottom-up studies sometimes calculate this ratio to be less than one, but recent findings show evidence of risk compounding, which produces a ratio greater than one.

D.

Bottom-up studies suggest that risk diversification should be questioned.

解释:

B is correct.

考点:Top-down approach and Bottom-up approach

解析:

本题考查的是实证研究结果,可以把正确的描述作为结论来记。

Top-down方法是对整体风险的考量,一般得出的结论是integrated risks to separate risks的比率小于1,也就是风险分散化(risk diversification)存在,所以A正确,B选项说反了。

Bottom-up方法实证研究里出现了risk compounding的现象,此时integrated risks to separate risks的比率大于1。所以C选项描述正确,Bottom-up方法可能出现比率小于1或者大于1的现象。

D选项则是根据这种现象推出的结论,使用Bottom-up方法并不一定有risk diversification存在。

题目要求选择描述不正确的选项,因此正确答案B。

请问答案解析里提到的risk compounding是什么意思

1 个答案

品职答疑小助手雍 · 2021年09月05日

嗨,努力学习的PZer你好:


risk compounding就是风险加剧,即 integrated risks 大于各个风险量直接相加的量,有点像wrong way risk的感觉。

讲义里没用这个词,原版书里有,不算是专有名词,算是英文原意直接使用了。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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