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滴滴姐姐~ · 2021年09月17日

对于这道题还有另一个困惑点hhh

  1. FRM II
  2. Market Risk Measurement And Management

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


这个是common sense嘛？还是讲义哪里提到的鸭？我记得基础班老师就讲了个例题？没说这么细？做这道题甚至会想起CFA三级固收的痛苦面具


如果不是讲义上的，求帮忙详细讲讲~


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1 个答案

李坏_品职助教 · 2021年09月17日

嗨，爱思考的PZer你好：


B项意思是风险因子直接不是高度相关的。


可以看一下讲义P77，这里写的cash flow mapping是唯一一个考虑了多个risk factor的方法。当risk factor互相不是高度相关的时候，算出来的var自然是更低的（原理类似于相关系数越低的资产组合方差越小）



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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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