A为什么错

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：

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.