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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

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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


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