文档介绍：: .
An insurance comp financial crisis?
A. There a 「e only ma 「ginal changes irn car 「elations and variances in times of crisis
and therefore they do not need to be factored into 「isk management.
B. The diversification benefits as correlations increase and the 「efore your
risk level increases.
C. The diversification benefits increase as correlations decrease and therefore your
risk level decreases.
D. VaR estimates using the Risk Metrics approach provide fo 「 the effects of
inc「eased cor 「elations du 「ing pe 「iods of crisis and therefore the effects a 「e
facto 「ed into cur 「ent positions.
3. Answer: B
Du 「ing crisis situations the co 「relation between global markets inc 「eases as suggested by
empirical implication of this increasedco 「「elation is that the maximum
amount to be lost for a given probability over a given time period increases. Therefore,
dive rsification bend the 「e forethe 「isk l e 剌 in c 「eases .4 Roy Thomson, a global investment risk manager of FBN Bank, is assessing markets
A and Busing a two-factor model. In order to determine the covariance between
markets A and B, Thomson developed the fol lowing factor covariance matrix for
global assets:
Factor Covariance Matrix for Global Assets
Global Eq1 Uity Factor Global Bond Factor
Global Equity Factor -
Global Bond Factor -
Suppose the factor sensitivities to the global equity factor are o. 75 for market A and
for market B, and the factor sensitivities to the global bond factors are for
market A and for market B. The covariance between market A and Market B is
closest to:
A. -
B. -
C.
D.