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Arisk manager is using a copula correlation model to perform stress tests of financial risk during systemic economic crises. If the risk manager is concerned about extreme outliers, which of the following correlation coefficient measures should be used?

A) Kendall’s τ correlation

B) Ordinal correlation

C) Pearson correlation

D) Spearman’s rank correlation

答案：C添加微信了解詳情

解析：The Pearson correlation coefficient is preferred to ordinal measures when outliers are a concern. Spearman’s rank correlation and Kendall’s τ are ordinal correlation coefficients that should not be used with cardinal financial variables because they underestimate risk by ignoring the impact of outliers.【資料下載】點擊下載FRM二級思維導圖PDF版

Which of the following are not potential problems with the risk analytics for Basel II?

I. Estimating the correlation of defaults is difficult as simultaneous defaults are very rare.

II. Validation of credit rating systems is difficult because default is rare.

III. Using copulas to estimate correlation of default ignores fat tails.

IV. Operational risk losses may be difficult to classify.

A) III only.

B) I only.

C) II only.

D) Two of the above are not potential problems.

答案：A

解析：Copulas show promise in estimating correlation of default as they may include characteristics such as fat tails.

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