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小太阳 · 2023年11月15日

c为什么不对

NO.PZ2023100703000049

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:

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.

现金流越分散风险越低对吗

2 个答案
已采纳答案

DD仔_品职助教 · 2023年11月17日

嗨,从没放弃的小努力你好:


是的呢同学,

C不对是因为他说Cash-flow mapping 只考虑redemption cash flow的时间,only错误,是考虑了所有的现金流。一般做题的时候,如果碰到only绝对字眼,都不对。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

小太阳 · 2023年11月17日

谢谢老师

DD仔_品职助教 · 2023年11月17日

嗨,努力学习的PZer你好:


加油哦~

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努力的时光都是限量版,加油!

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