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· 2023年07月05日

B选项理解

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000044

问题如下：

Under these assumptions - in particular: a flat yield curve and constant yield volatility of 1.0% - why can we expect cash flow mapping to produce a lower diversified VaR than either duration and principal mapping?

选项：

A.

The risk measures are non-linear.

B.

Due to imperfect correlations between pairwise risk factors.

C.

Fewer total cash flows will be mapped.

D.

We cannot expect a lower diversified VaR.

解释：

B is correct.

考点 ： Mapping to Fixed Income Portfolios

解析 ： The diversified VaR is lower due to two factors. First, risk measures are not perfectly linear with maturity. Second, correlations are below unity, which reduces risk even further.

老师好，请问这个b选项说的是后面会提到的component risk吗？然后还想问一下课堂上说的convexity是指三种mapping都会遇到的还是就第二种duration mapping跟麦考利久期有关才是呈现凸性呢？谢谢！

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1 个答案

DD仔_品职助教 · 2023年07月06日

嗨，爱思考的PZer你好：


同学你好，

你说的是第四张会学到的correlation risk吗？不是说的一个东西

这里B选项讲的是，假设收益率曲线是水平的，波动σ稳定，所以各个利率点上的VaR是一样的，所以在计算整体的 diversified VaR 时，利用CF mapping来计算的话，时会考虑到各种风险因子的，那么风险因子之间的correlation<1，就会产生分散化效果。所以可以导致CFmapping更小。

Duration mapping是没有考虑到convexity的，因为利率变动导致的价格变动是包含一阶导和二阶导的关系的，那么一阶导是duration，二阶导就是convexity，duration mapping之所以叫duration mapping就是因为他只考虑到了duration，是没有考虑到convexity的。如果说从考虑的是否全面角度出发，CF mapping是最全面的。因为principle mapping只考虑principle，duration mapping只考虑duration。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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