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.
如题
