NO.PZ2018122701000047
问题如下：
A portfolio manager is mapping a fixed-income portfolio into exposures on selected risk factors. The manager is analyzing the comparable mechanics and risk measurement outputs of principal mapping, duration mapping, and cash-flow mapping that correspond to the average portfolio maturity. Which of the following is correct?
选项：
A.Principal mapping considers coupon and principal payments, and the portfolio VaR using principal mapping is greater than the portfolio VaR using cash-flow mapping.
B.Duration mapping does not consider intermediate cash flows and the portfolio VaR using duration mapping is less than the portfolio VaR using principal mapping.
C.Cash-flow mapping considers the timing of the redemption cash flow payments only, and the portfolio VaR using cash flow mapping is less than the portfolio VaR using duration mapping.
D.Cash-flow mapping considers the present values of cash flows grouped into maturity buckets, and the undiversified portfolio VaR using cash-flow mapping is greater than the portfolio VaR using principal mapping.
解释：
B is correct.
考点Mapping to Fixed Income Portfolios
解析With duration mapping, a portfolio is replaced by a zero-coupon bond with maturity equal to the duration of the portfolio. The risk of the hypothetical zeros is less than the risk of a coupon bond of comparable maturity. Therefore, the portfolio VaR using duration mapping is less than the portfolio VaR using principal mapping.
With principal mapping, one risk factor is chosen that corresponds to the average portfolio maturity. With duration mapping, one risk factor is chosen that corresponds to the portfolio duration. With cash flow mapping, the portfolio cash flows are grouped into maturity buckets and the undiversified portfolio VaR using cash-flow mapping is less than the portfolio VaR using principal mapping since principal mapping ignores the intervening coupon payments, thus overstating the true risk of the portfolio.
能明白答案的角度是，duration mapping是把每个现金流，单独当作一个个0息债来计算。
但是不就是正因为有期间的现金流，才会用这种方法来计算么
