嚴(yán)同學(xué)
2018-05-04 19:2864題,既然Negative correlation between equity and senior tranches, correlations for equity tranches increased during financial crisis, 那么不就推導(dǎo)出correlations for senior tranches decreased during financial crisis?
所屬:FRM Part II 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
Galina助教
2018-05-07 14:30
該回答已被題主采納
Negative correlation between equity and senior tranches這是原來模型的假設(shè)。
real world是與之相違背的。
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追問
這道題目問的是什么不太明白?ABC選項(xiàng)本身的描述是正確的?D選項(xiàng)應(yīng)該改成correlations for senior tranches increased during financial crisis?
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追答
問的就是危機(jī)時(shí),哪個(gè)不是真實(shí)市場情況。
你說的是對的。
