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菲比姑妈 · 2021年11月09日

Pearson correlation (ρ) is a linear measure of dependence between the return of two assets equal to the ratio of the covariance of the asset returns to the product of their volatilities.

NO.PZ2016070202000015

问题如下:

Brenda Williams is a risk analyst who wants to model the dependence between asset returns using copulas and must convince her manager that this is the best approach. Which of the following statements are correct?

I. The dependence between the return distributions of portfolio assets is critical for risk measurement.

II. Correlation estimates often appear stable in periods of low market volatility and then become volatile in stressed market conditions. Risk measures calculated using correlations estimated over long horizons will therefore underestimate risk in stressed periods.

III. Pearson correlation (ρ) is a linear measure of dependence between the return of two assets equal to the ratio of the covariance of the asset returns to the product of their volatilities.

IV. Using copulas, one can construct joint return distribution functions from marginal distribution functions in a way that allows for more general types of dependence structure of the asset returns.

选项:

A.

I, II, and III

B.

II and IV

C.

I, II, III, and IV

D.

I, III, and IV

解释:

D is correct. The dependence is critical, so statement I. is correct. The usual Pearson correlation is a linear measure of dependence, so statement III. is correct. Statement IV. is also correct. For statement II., correlations indeed change over stressed periods, but it is not clear whether this biases long-term correlations upward or downward. Also, the effect on the portfolio risk depends on the positioning. Hence, there is not enough information to support statement II.

请问:

Pearson correlation (ρ) is a linear measure of dependence between the return of two assets equal to the ratio of the covariance of the asset returns to the product of their volatilities.


这个ratio of covariance to volatility 的结果不是β吗?

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品职答疑小助手雍 · 2021年11月09日

同学你好,首先这句话是没有错的。

Pearson 相关性 (ρ) 是衡量两个资产回报之间的线性关系,其等于资产回报的协方差与其波动率的乘积之比。

cov的公式是等于ρ*σ(A)*σ(B)的。

你说的beta的公式是回归里 beta= cov(自变量,因变量) / 自变量的方差

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NO.PZ2016070202000015 问题如下 Bren Williams is a risk analyst who wants to mol the pennbetween asset returns using copulanmust convinher manager ththis is the best approach. Whiof the following statements are correct?I. The pennbetween the return stributions of portfolio assets is criticfor risk measurement.II. Correlation estimates often appestable in perio of low market volatility anthen become volatile in stressemarket contions. Risk measures calculateusing correlations estimateover long horizons will therefore unrestimate risk in stresseperio.III. Pearson correlation (ρ) is a linemeasure of pennbetween the return of two assets equto the ratio of the covarianof the asset returns to the proof their volatilities.IV. Using copulas, one cconstrujoint return stribution functions from marginstribution functions in a wthallows for more genertypes of pennstructure of the asset returns. A.I, II, anIII B.II anIV C.I, II, III, anIV I, III, anIV is correct. The pennis critical, so statement I. is correct. The usuPearson correlation is a linemeasure of pennce, so statement III. is correct. Statement IV. is also correct. For statement II., correlations inechange over stresseperio, but it is not clewhether this biases long-term correlations upwaror wnwar Also, the effeon the portfolio risk pen on the positioning. Hence, there is not enough information to support statement II. 老师解析不是说A对的吗?那应该四个表述都对啊

2022-11-03 15:30 1 · 回答

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