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hbc0728 · 2022年03月03日

是否可以解释一下B选项

  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.

如题

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品职答疑小助手雍 · 2022年03月04日

同学你好，这不是解释单个选项的问题，因为题目问的是假设了一个情景“收益率曲线水平，利率波动σ稳定”，隐含意思就是各个期限的利率的VAR是一样的，那么哪种情形可以造成cash flow mapping算出的diversified VaR比较小。

B说的情景是可以实现题目描述的。

因为能产生题目描述的有两种原因：一是各期限利率与期限之间不是有完美的线性关系（题目描述的曲线水平已经打破的了这个原因），二十各期限利率波动的相关性小于1，有分散化效果（B的描述）。

hbc0728 · 2022年03月13日

请问您提到的两种原因在讲义中哪里提到了，谢谢！

hbc0728 · 2022年03月30日

老师，对”各期限利率波动的相关性小于1，有分散化的效果“还是每太理解，就是这个原因，所以cash flow mapping的VaR比较小呗，为啥各期限利率波动的相关性小于1，就有分散化的效果，谢谢！

品职答疑小助手雍 · 2022年03月31日

cash flow mapping就相当于把每个期限的现金流当成一个零息债券，现在一堆债券的var有没有分散化的效果，这不就是要看他们之间的利率变化的相关性了么。

品职答疑小助手雍 · 2022年03月14日

同学你好，不是所有的考题都可以具体对应到某一页讲义的，比如这题你只要明白的理解了cash flow mapping还有duration或者principle mapping的原理，就可以根据债券的性质推出正确的选项。

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