NO.PZ2023100703000057
问题如下：
A senior risk analyst at a large investment bank is proposing to the CRO a plan to improve the efficiency of the bank’s risk measurement system. The analyst suggests simplifying the bank’s portfolio VaR estimation process by mapping the bank’s large number of trading positions to a small number of elementary risk factors. Which of the following is the most appropriate way of mapping the given position?选项：
A.Mapping USD/EUR forward contracts to the USD/EUR spot exchange rate.
B.Mapping each position in a corporate bond portfolio to the bond with the closest maturity among a set of government bonds.
C.Mapping zero-coupon government bonds to government bonds paying regular coupons.
D.The mapping of a stock index is the same as that of an individual stock.
解释：
A is correct. Mapping several USD/EUR forward contracts to USD/EUR spot exchange rate is an adequate process, because all the forward positions are exposed to a single major risk factor, which is the USD/EUR spot exchange rate. However, this is not a perfect mapping (for instance, the sensitivity of both the forward and the spot exchange rates to a specific risk factor such as changes in interest rates, may differ).While the single aggregation of exposure of this risk factor is acceptable for risk measurement, it is not adequate for pricing of the portfolio.B is incorrect because any bond must be mapped on yields that best represent its current profile and the yield differences between the corporate bonds and the government bonds disqualify this as the best mapping.C is incorrect because such procedure maps a simple single source of uncertainty (the payoff at the maturity) to multiple sources of uncertainty (coupon payments and the payoff at the maturity) which violates the first principle of mapping, simplify the source of uncertainty.D is also incorrect as the stock market index is a more diversified factor than a single stock. In fact, it is usually the reverse, i.e., a position of stock within an index is mapped to a position in that index.这两道题为什么答案不一样
