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