NO.PZ2018122701000047
问题如下：
A portfolio manager is mapping a fixed-income portfolio into exposures on selected risk factors. The manager is analyzing the comparable mechanics and risk measurement outputs of principal mapping, duration mapping, and cash-flow mapping that correspond to the average portfolio maturity. Which of the following is correct?
选项：
A. Principal mapping considers coupon and
principal payments, and the portfolio VaR using principal mapping is greater
than the portfolio VaR using cash-flow mapping.
B. Duration mapping does not consider intermediate
cash flows and the portfolio VaR using duration mapping is less than the
portfolio VaR using principal mapping.
C. Cash-flow mapping considers the timing of
the redemption cash flow payments only, and the portfolio VaR using cash flow
mapping is less than the portfolio VaR using duration mapping.
D. Cash-flow mapping considers the present
values of cash flows grouped into maturity buckets, and the undiversified
portfolio VaR using cash-flow mapping is greater than the portfolio VaR using
principal mapping.
解释：
B is correct.
考点Mapping to Fixed Income Portfolios
解析With duration mapping, a portfolio is replaced by a zero-coupon bond with maturity equal to the duration of the portfolio. The risk of the hypothetical zeros is less than the risk of a coupon bond of comparable maturity. Therefore, the portfolio VaR using duration mapping is less than the portfolio VaR using principal mapping.
With principal mapping, one risk factor is chosen that corresponds to the average portfolio maturity. With duration mapping, one risk factor is chosen that corresponds to the portfolio duration. With cash flow mapping, the portfolio cash flows are grouped into maturity buckets and the undiversified portfolio VaR using cash-flow mapping is less than the portfolio VaR using principal mapping since principal mapping ignores the intervening coupon payments, thus overstating the true risk of the portfolio.
NO.PZ2018122701000047
