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FRM二级考试中,关于金融资产收益率的例题解析!

金融资产收益率是FRM考试的金融词汇,下文是对Return on financial assets的例题解析!一起看看哪个选项是正确答案吧!>>>点击领取2021年FRM备考资料大礼包(戳我免·费领取)

2021FRM备考资料大礼包

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 inconect?

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, (he 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.

The correct answer is D. Because ihe short-term volatility of the data is greater than the long-term data volatility, so the short-term data out of the correlation coefl'icient is not stable.


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金融资产收益率之间的依赖结构在风险度量中起着重要的作用。对于流动性市场,以下哪项陈述是不一致的?

A、 相关性是一个有效的衡量随机变量之间的依赖性只有某些类型的回报分布。

B、 即使两种资产的收益分布的相关性为零,这些资产的收益也不一定是独立的。

C、 copula使得可以分别对边际分布和依赖结构进行建模。

D、 基于短期回顾期(三个月或更短)的相关性估计通常稳定。

正确答案是D,因为数据的短期波动是大于长期数据的波动性,所以短期数据出了问题相关系数不稳定。