王同學(xué)
2018-10-17 19:15老師,第一題和第二題的差異,和考核點(diǎn)分別是什么,沒有太搞懂.
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
Wendy助教
2018-10-18 09:28
該回答已被題主采納
同學(xué)你好
第一題和第二題分別是哪個(gè)？我這里只看到一題
A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on historical data, the long-run mean correlation of Dow stocks was 32%, and the regression output estimates the following regression relationship: Y = 0.215 – 0.75X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 36%. What is the expected correlation for May 2014 assuming the mean reversion rate estimated in the regression analysis?
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追問
A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on historical data, the long-run mean correlation of Dow stocks was 32%, and the regression output estimates the following regression relationship: Y = 0.215 – 0.75X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 36%. What is the expected correlation for May 2014 assuming the mean reversion rate estimated in the regression analysis?
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追問
A risk manager uses the past 480 months of correlation data from the Dow Jones Industrial Average (Dow) to estimate the long-run mean correlation of common stocks and the mean reversion rate. Based on historical data, the long-run mean correlation of Dow stocks was 34%, and he regression output estimates the following regression relationship: Y = 0.215 - 0.77X. Suppose that in April 2014, the average monthly correlation for all Dow stocks was 33%. What is the estimated one-period autocorrelation for this time period based on the mean reversion rate estimated in the regression analysis?
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追問
老師,這兩個(gè)題目.謝謝您.
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追答
同學(xué)你好
第一題，問的expected correlation for May 2014 ，也就是新的相關(guān)性對(duì)等于多少?？炊旅孢@個(gè)圖形，這個(gè)題就會(huì)解答了 -
追答
同學(xué)你好
第二題，問的是autocorrelation。autocorrelation+mean reversion=1
通過上題類似的分析可知，mean reversion=0.77，所以autocorrelation=1-0.77=0.23
這兩個(gè)題是同一個(gè)知識(shí)點(diǎn)，但是問法不一樣
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