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wilsonxu · 2021年08月28日

这个考点不是cash flow折现吗？或者cash flow mapping。为什么考点是delta-normal？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000022

问题如下：

When conducting cash flow mapping, we need to separate the cash flows of a bond and measure the risk of the present value of each cash flow. The face value of a 2-years bond is now $ 1,000,000 with 8% interest rate paid annually, the discount rate for the same-risk 1-year zero-coupon bond is 5%, and the forward rate for the 1-2 year is 6%. What are the present values of the two cash flows of this bond?

选项：

PV of CF1
PV of CF2

A.

$75,472
$981,196

B.

$75,472
$961,196

C.

$76,190
$970,350

D.

$76,190
$979,592

解释：

C is correct.

考点：Delta-normal VaR

解析：两个现金流分别是80000和1080000,

80000对应的折现率是5%，直接用80000/1.05=76190。

1080000对应的折现率分为两期，第一期是5%，第二期是6%，用1080000/（1.05*1.06）=970350

这个考点不是cash flow折现吗？或者cash flow mapping。为什么考点是delta-normal？
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DD仔_品职助教 · 2021年08月28日

嗨，爱思考的PZer你好：


同学你好~

VaR mapping里有两种映射的方法，第一种叫delta-normal，第二种叫delta-gamma

不管哪一种方法，都需要对现金流进行折现，求出权重，进而求Duration。这个题其实就是在算现金流的折现，只是第一步。

我觉得这个题归类到delta-normal确实有点不合适，像你说的归类到mapping底下应该更准确~

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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