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