题目
Which statement best describes correlations and variances in times of financial crisis?
选项
A.There are only marginal changes in correlations and variances in times of crisis, and therefore they do not need to be factored into risk management.
B.The diversification benefits decrease because correlations increase, and therefore your risk level increases.
C.The diversification benefits increase because correlations decrease, and therefore your risk level decreases.
D.VaR estimates using the Risk Metrics approach provide for the effects of increased correlations during periods crisis, and therefore the effects are factored into current positions.
答案
B
解析
During crisis situations the correlation between global markets increases as suggested by empirical evidence. The implication of this increased correlation is that the maximum amount to be lost for a given probability over a given time period increases. Therefore, diversification benefits decrease when correlations rise and therefore the risk level increases. VaR estimates do not provide for the effects of increased correlations during periods of crisis. Stress testing can be used to evaluate the effects of increased correlations.在危机情况下，经验证据表明，全球市场之间的相关性会增加。 这种增加的相关性的含义是，在给定的时间段内，给定的概率损失的最大数量增加了。 因此，当相关性增加时，多元化收益就会减少，因此风险水平也会增加。 VaR估计值并未提供危机期间相关性增加的影响。 压力测试可用于评估相关性增加的影响。