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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年08月13日

D选项的mapping怎么做?

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000041

问题如下：

Computing VaR on a portfolio containing a very large number of positions can be simplified by mapping these positions to a smaller number of elementary risk factors. Which of the following mappings would be adequate?

选项：

A.

USD/EUR forward contracts are mapped on the USD/JPY spot exchange rate.

B.

Each position in a corporate bond portfolio is mapped on the bond with the closest maturity among a set of government bonds.

C.

Government bonds paying regular coupons are mapped on zero-coupon government bonds.

D.

A position in the stock market index is mapped on a position in a stock within that index.

解释：

C is correct.

考点 ： Risk Factor

解析 ： Mapping government bonds paying regular coupons onto zero coupon government bonds is an adequate process, because both categories of bonds are government issued and therefore have a very similar sensitivity to risk factors. However, this is not a perfect mapping since the sensitivity of both classes of bonds to specific risk factors (i.e., changes in interest rates) may differ.

D选项的mapping怎么做以及D选项错在哪? 谢谢

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DD仔_品职助教 · 2023年08月14日

嗨，爱思考的PZer你好：


同学你好，

股票大盘指数的风险因子包括了影响整个股市的因子，可能有几千几万只股票的影响因子。不能直接用一只股票来Mapping

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