开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

世纪之龙5 · 2024年03月05日

题目想表达什么意思，不是很明白

  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.

如题

添加评论
1 个答案

pzqa27 · 2024年03月05日

嗨，从没放弃的小努力你好：


这个题说收益率曲线水平且不变，让我们解释下为什么cash flow mapping可以产生的diversified VaR会比duration mapping和principal mapping 产生的VaR要更低。

diversified VaR 比较小是由于两个原因，一是风险因子与maturity之间不是完美的线性关系（所以只用maturity不够，CF mapping更准确），二是风险因子之间的correlation<1，有分散化效果 题目里说 a flat yield curve and constant yield volatility of 1.0%，即收益率曲线水平，利率波动σ稳定，所以各个利率点上的VAR是一样的，那么原因一带来的差异就不明显，所以 diversified VaR 比较小主要就是由于原因二造成的


----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 245

    浏览
相关问题

NO.PZ2018122701000044问题如下 Unr these assumptions - in particular: a flat yielcurve anconstant yielvolatility of 1.0% - why cwe expecash flow mapping to proa lower versifieVtheither ration anprincipal mapping? The risk measures are non-linear. e to imperfecorrelations between pairwise risk factors. Fewer totcash flows will mappe We cannot expea lower versifieVaR. B is correct. 考点 &#xFF1A; Mapping to FixeIncome Portfolios 解析 &#xFF1A; The versifieVis lower e to two factors. First, risk measures are not perfectly linewith maturity. Secon correlations are below unity, whireces risk even further. 老师好，请问这个b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ration mapping跟麦考利久期有关才是呈现凸性呢？谢谢！

2023-07-05 10:33 1 · 回答

NO.PZ2018122701000044 问题如下 Unr these assumptions - in particular: a flat yielcurve anconstant yielvolatility of 1.0% - why cwe expecash flow mapping to proa lower versifieVtheither ration anprincipal mapping? The risk measures are non-linear. e to imperfecorrelations between pairwise risk factors. Fewer totcash flows will mappe We cannot expea lower versifieVaR. B is correct. 考点 &#xFF1A; Mapping to FixeIncome Portfolios 解析 &#xFF1A; The versifieVis lower e to two factors. First, risk measures are not perfectly linewith maturity. Secon correlations are below unity, whireces risk even further. versifieV是指什么？是不是只有Mapping 才有versifieVaR, 因为只有Mapping考虑multiple risk factors？

2022-09-07 11:52 1 · 回答

NO.PZ2018122701000044 e to imperfecorrelations between pairwise risk factors. Fewer totcash flows will mappe We cannot expea lower versifieVaR. B is correct. 考点 Mapping to FixeIncome Portfolios 解析 The versifieVis lower e to two factors. First, risk measures are not perfectly linewith maturity. Secon correlations are below unity, whireces risk even further. mapping 难道不是一定大于本金mapping的吗 为什么会小 题干对sigma的描述说明了什么

2022-03-15 09:01 1 · 回答

NO.PZ2018122701000044

2022-03-03 22:03 3 · 回答