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beyond422 · 2022年10月11日

老师，我想请问一下C选项在严格意义上说需要考虑reinvestment risk吗？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000041

问题如下：

Computing VaR on a portfolio containing a very large number of positions can be simplified by mapping these positions to a smaller number of elementary risk factors. Which of the following mappings would be adequate?

选项：

A.

USD/EUR forward contracts are mapped on the USD/JPY spot exchange rate.

B.

Each position in a corporate bond portfolio is mapped on the bond with the closest maturity among a set of government bonds.

C.

Government bonds paying regular coupons are mapped on zero-coupon government bonds.

D.

A position in the stock market index is mapped on a position in a stock within that index.

解释：

C is correct.

考点 ： Risk Factor

解析 ： Mapping government bonds paying regular coupons onto zero coupon government bonds is an adequate process, because both categories of bonds are government issued and therefore have a very similar sensitivity to risk factors. However, this is not a perfect mapping since the sensitivity of both classes of bonds to specific risk factors (i.e., changes in interest rates) may differ.

老师，我想请问一下C选项在严格意义上说需要考虑reinvestment risk吗？

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1 个答案

李坏_品职助教 · 2022年10月11日

嗨，爱思考的PZer你好：


在计算var的时候一般不考虑reinvestment risk，而且这个mapping是把带利息的国债mapping到一系列的零息债，这些期限不同的零息债足以模拟带利息债券的现金流，所以即便考虑reinvestment risk，影响也很小。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

beyond422 · 2022年10月12日

谢谢老师！

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