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金融民工阿聪 · 2021年01月26日

没读懂

  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.

1.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这个答案解释是什么意思呢，和B有关吗？

2.B说的不是说由于不完美的成对风险？但是说利率不随期限结构变化，不就是说明每个期限的利率存在较大相关性吗？这样不是和B说的完全相反么

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2 个答案

袁园_品职助教 · 2021年02月18日

同学你好！

因为A说的是原因一，而这道题目里主要是由于原因二造成的，所以选B不选A

袁园_品职助教 · 2021年01月27日

1. 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），而是风险因子之间的correlation<1，有分散化效果

2. 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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