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王欣Catalina · 2022年02月26日

C选项怎么理解？

  1. FRM II
  2. Market Risk Measurement And Management

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.

关于C选项有两个问题请老师解答，一是redemption cash flow payments是什么意思？二是CF method和Duration method算出的VAR是不是没办法确定大小关系?


谢谢！



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2 个答案

DD仔_品职助教 · 2022年02月27日

嗨，从没放弃的小努力你好：


C错在了only，CF mapping不管考虑到了每笔现金流发生的时间timing，还考虑到了大小。

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DD仔_品职助教 · 2022年02月26日

嗨，努力学习的PZer你好：


同学你好，

1，redemption cash flow payments就是拿到的现金流，对于债券而言拿到的现金流就是每期的coupon与期末的本金

2，CF mapping比duration mapping更加精细，考虑到了每一笔现金流发生的时间，越精细的方法算出来的VaR越小，那么CF mapping法算出来的VaR会小于duration mapping。

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王欣Catalina · 2022年02月26日

那为什么C选项不正确呢？是不是因为Cash flows method应该表述为既考虑了每笔现金流的timing又考虑了现金流的大小？

天天 · 2023年07月02日

前面不是说CF 和D mapping 不能直接比较大小，而要分情况嘛？ 这里又说：CF mapping法算出来的VaR会小于duration mapping。？这相互矛盾啊

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