The "exposure" (i.e.the regression coefficient beta)is: Hint: Calculate the expression $\frac { \operatorname { Cov } ( P , S ) } { \operatorname { Var } ( S ) }$

Question

Quizplus · Accepted Answer

We need to calculate the expression:

$\frac { \operatorname { Cov } ( P , S ) } { \operatorname { Var } ( S ) }$

Covariance between P and S = -50,000
Variance of S = 20

Therefore,

$\frac { \operatorname { Cov } ( P , S ) } { \operatorname { Var } ( S ) } = \frac{-50,000}{20} = -2,500$

Hence, the exposure (beta) is -2,500.

The "Exposure" (I Cov⁡(P,S)Var⁡(S)\frac { \operatorname { Cov } ( P , S ) } { \operatorname { Var } ( S ) }Var(S)Cov(P,S)​

The "Exposure" (I $\frac { \operatorname { Cov } ( P , S ) } { \operatorname { Var } ( S ) }$