Financial Risk Manager Part 2

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Explanation:

\rho_{12} = \frac{\pi_{12} - \pi_1 \pi_2}{\sqrt{\pi_1 (1 - \pi_1)} \sqrt{\pi_2 (1 - \pi_2)}}

= \frac{0.00018 - (0.002)(0.004)}{\sqrt{0.002(1 - 0.002)} \sqrt{0.004(1 - 0.004)}} = \frac{0.000172}{(0.044677 \times 0.063119)} = 0.060994

Explanation:

\rho_{12} = \frac{\pi_{12} - \pi_1 \pi_2}{\sqrt{\pi_1 (1 - \pi_1)} \sqrt{\pi_2 (1 - \pi_2)}}

= \frac{0.00018 - (0.002)(0.004)}{\sqrt{0.002(1 - 0.002)} \sqrt{0.004(1 - 0.004)}} = \frac{0.000172}{(0.044677 \times 0.063119)} = 0.060994

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Last updated: July 5, 2026 at 07:14

0.012475

0.0024

0.060994

0.0522