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Yuyu · 2021年11月10日

所以本题是不需要再参考exhibit 1 的条件了?

* 问题详情,请 查看题干

NO.PZ201601050100000202

问题如下:

2. Based on Ostermann‘s correlation forecast, the expected domestic-currency return (measured in EUR terms) on USD-denominated assets will most likely:

选项:

A.

increase.

B.

decrease.

C.

remain unchanged.

解释:

C is correct.

An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot exchange rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not change the level of expected domestic-currency return. The domestic-currency return risk is a function of the foreign-currency return risk [σ(RFC)] the exchange rate risk [σ(RFX)] and the correlation between the foreign-currency returns and exchange rate movements. Mathematically, this is expressed as:

σ2(RDC)σ2(RFC)+σ2(RFX)+2σ(RFC)σ(RFX)ρ(RFCRFX)\sigma^2{(R_{DC})}\approx\sigma^2(R_{FC})+\sigma^2(R_{FX})+2\sigma(R_{FC})\sigma(R_{FX})\rho(R_{FC}R_{FX})

If the correlation increases from +0.50 to +0.80, then the variance of the expected domestic-currency return will increase—but this will not affect the level of the expected domestic-currency return (RDC). Refer to the equation shown for the answer in Question 1 and note that Ostermann's expected RFC has not changed. (Once again, note as well that RFX is defined with the domestic currency as the price currency.)

A and B are incorrect. An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not impact the expected domestic-currency return.

中文解析:
问题问的是当相关性ρ(Rfc,Rfx)变大的时候,Rdc是如何变化的。

根据 Rdc=Rfc+Rfx+Rfc*Rfx公式,可知相关系数并不影响Rdc, 所以选择C。

和题目标题问题一致,因为按照exhibit 1 结合的方式,答案选了B
1 个答案

Hertz_品职助教 · 2021年11月11日

嗨,爱思考的PZer你好:


同学你好~

是的哈

这是一道case题目,有6个小问题,本题只是第2小问,因此有很多信息是用不到的呢,直接根据Rdc=Rfc+Rfx+Rfc*Rfx这个公式就可以做题啦

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2022-11-09 12:03 1 · 回答

想问下这里答案写the spot exchange rates from 0.5 to 0.8 woulincrease the mestic-currenreturn risk but woulnot change the level of expectemestic-currenreturn. 一般而言,risk变化了,return不应该跟着变化吗?

2020-11-14 16:23 1 · 回答

    请问题目当中的correlation是RFC和spot FX,题中美元是FC,是不是可以理解美元收益率上升,usEUR上升,也就是EUR升值呢?

2019-06-07 16:11 1 · 回答

    选A有这样一个思路,FX 与 FC相关性变高,FX在题中 US值,导致FC收益率上升(相关性变高),所以上升。请帮忙解惑。

2019-03-25 10:39 1 · 回答