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~