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lsjlsjlsj · 2022年03月15日

VAR MAPPING

  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.

CF mapping 难道不是一定大于本金mapping的吗

为什么会小


题干对sigma的描述说明了什么


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李坏_品职助教 · 2022年03月15日

嗨，爱思考的PZer你好：


CF mapping针对于多个risk factors的情况下，计算的多样化VaR是比principal mapping的VaR（只考虑一个risk factor）要小的。


1. CF mapping产生的diversified VaR 比较小是由于两个原因：

（1）风险因子与maturity之间不是完美的线性关系，只用maturity还不够，CF mapping更准确；

（2）风险因子之间的correlation<1，有分散化效果。所以CF mapping考虑了several risk factors，更能提现分散化。


2. 题目里说 a flat yield curve and constant yield volatility of 1.0%，即收益率曲线是水平的，波动σ稳定，所以各个利率点上的VaR是一样的，那么上述的原因（1）带来的差异就不明显，所以 diversified VaR 比较小主要就是由于原因二造成的. 所以选B

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