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186****1842 · 2021年09月01日

a为什么不对

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.

A为什么不对,解答里也提到另一个原因是不完全线性

1 个答案

李坏_品职助教 · 2022年03月04日

嗨,爱思考的PZer你好:


这道题之前的答复有点问题,我重新写一下哈。


1. diversified VaR 比较小是由于两个原因,一是risk measures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),二是risk measures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%,即收益率曲线是水平的,利率波动σ稳定,所以各个maturity的利率的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,所以选择B

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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