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· 2023年07月05日

选项c依然不明白

NO.PZ2018122701000045

问题如下:

Which of these statements regarding risk factor mapping approaches is/are correct?

I.Under the cash flow mapping approach, only the risk associated with the average maturity of a fixed-income portfolio is mapped.

II.Cash flow mapping is the least precise method of risk mapping for a fixed-income portfolio.

III.Under the duration mapping approach, the risk of a bond is mapped to a zero-coupon bond of the same duration.

IV.Using more risk factors generally leads to better risk measurement but also requires more time to be devoted to the modeling process and risk computation.

选项:

A.

I and II

B.

I, III, and IV

C.

III and IV

D.

IV only

解释:

C is correct.

考点 Mapping to Fixed Income Portfolios

解析 Under the cash flow mapping approach, each payment (and not only the last one) is associated with a different risk factor, so statement I. is incorrect. Statement II.is incorrect because the CF mapping approach is more correct than duration or maturity mapping.

duration mapping课上说的是Mac Duration,但是麦考利久期和zero rate coupon有啥关系呢?能调动出来的知识点目前只有:只有零息债券的麦考利久期等于他的到期日。谢谢解答~

1 个答案

品职答疑小助手雍 · 2023年07月05日

同学你好,其实就是通过这个知识点来的~duration mapping就是把整个组合看成(也可以理解为mapping成)一个零息债券,这个零息债券的麦考林久期就代表着整个组合的久期(也就等于零息债的到期日)。这样就可以根据利率变化,去mapping整个组合的价值变动或者波动了。