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良爱洳 · 2021年11月24日

问一道题：NO.PZ2016072602000028 [ FRM II ]

  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.

没太看懂 此题考察的是什么知识点？

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1 个答案

DD仔_品职助教 · 2021年11月24日

嗨，努力学习的PZer你好：


考察的是risk aggregation的分散化好处来自哪里？

其实就是在考察决定分散化好处的因素，资产越多分散化效果越好，同时资产间的相关系数也决定了分散化大小，最后就是组合中各个资产的占比也就是权重。

跟我们组合中各个资产的size没有关系，我们关注的是占比。B不对，选B

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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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？

2023-04-25 16:16 1 · 回答

Tower Bank approaches economic capitanrisk 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., 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. C中position越集中，不是会导致相关性越高，然后risk越高吗

2020-08-27 22:05 1 · 回答

Tower Bank approaches economic capitanrisk 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., 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. 没理解答案的，为什么选B可否再一下，我选B是因为里面没提到风险资产，而只是porfolio的size。

2020-03-18 16:06 1 · 回答

     number为什么会是一个可以分散化的变量呢，如果数量多然而又正相关且correlation大，也没有用吧

2019-07-30 15:06 2 · 回答