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滴滴姐姐~ · 2021年09月17日

我想问问这里的风险因子具体指啥

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.

cash flow mapping produce a lower diversified VaR than either duration and principal mapping 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),

二是风险因子之间的correlation<1,有分散化效果

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上面是老师之前回复其他小伙伴的哈

我其实就是不太确定 这里1. 2.里的风险因子指的什么呢?key rate duration嘛?还是泛指duration呢?


题目中说flat yield curve 就可以说明风险因子和maturity直接是线性关系 1不成立,我有感觉这里的风险因子是key rate对应的yield们?


所以到底是啥呢?

谢谢谢谢

1 个答案

DD仔_品职助教 · 2021年09月17日

嗨,从没放弃的小努力你好:


我认为他这里说的是key rate duration。

因为cash flow mapping就是考虑到了具体的时间点上的现金流的duration,而这刚刚好就是key rate duration的含义:duration at specific maturity point on the yield curve。

但其实所有的各种名字的duration都是从原本的duration来的,所以精确来说是key rate duration,但是认为直接是duration也ok的


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