金融資產(chǎn)收益率是FRM考試的金融詞匯，下文是對Return on financial assets的例題解析！一起看看哪個選項是正確答案吧！>>>點擊領(lǐng)取2021年FRM備考資料大禮包（戳我免·費領(lǐng)?。?/span>

2021FRM備考資料大禮包

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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金融資產(chǎn)收益率之間的依賴結(jié)構(gòu)在風(fēng)險度量中起著重要的作用。對于流動性市場，以下哪項陳述是不一致的？

A、 相關(guān)性是一個有效的衡量隨機變量之間的依賴性只有某些類型的回報分布。

B、 即使兩種資產(chǎn)的收益分布的相關(guān)性為零，這些資產(chǎn)的收益也不一定是獨立的。

C、 copula使得可以分別對邊際分布和依賴結(jié)構(gòu)進行建模。

D、 基于短期回顧期（三個月或更短）的相關(guān)性估計通常穩(wěn)定。

正確答案是D，因為數(shù)據(jù)的短期波動是大于長期數(shù)據(jù)的波動性，所以短期數(shù)據(jù)出了問題相關(guān)系數(shù)不穩(wěn)定。