开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？

添加评论
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。

----------------------------------------------
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！

  • 1

    回答

  • 0

    关注

  • 350

    浏览
相关问题

NO.PZ2018122701000041 问题如下 Computing Von a portfolio containing a very large number of positions csimplifiemapping these positions to a smaller number of elementary risk factors. Whiof the following mappings woulaquate? USEUR forwarcontracts are mappeon the USJPY spot exchange rate. Eaposition in a corporate bonportfolio is mappeon the bonwith the closest maturity among a set of government bon. Government bon paying regulcoupons are mappeon zero-coupon government bon. A position in the stomarket inx is mappeon a position in a stowithin thinx. C is correct. 考点 ： Risk Factor 解析 ： Mapping government bon paying regulcoupons onto zero coupon government bon is aquate process, because both categories of bon are government issueantherefore have a very similar sensitivity to risk factors. However, this is not a perfemapping sinthe sensitivity of both classes of bon to specific risk factors (i.e., changes in interest rates) mffer. 老师，请问Corp bon和 Govt bon同的风险因子，是不是只有interest rate risk啊？也想问问，是由于公司债与政府债的cret risk相差太远，所以也不能用他俩mapping？

2024-07-12 06:17 1 · 回答

NO.PZ2018122701000041 问题如下 Computing Von a portfolio containing a very large number of positions csimplifiemapping these positions to a smaller number of elementary risk factors. Whiof the following mappings woulaquate? USEUR forwarcontracts are mappeon the USJPY spot exchange rate. Eaposition in a corporate bonportfolio is mappeon the bonwith the closest maturity among a set of government bon. Government bon paying regulcoupons are mappeon zero-coupon government bon. A position in the stomarket inx is mappeon a position in a stowithin thinx. C is correct. 考点 ： Risk Factor 解析 ： Mapping government bon paying regulcoupons onto zero coupon government bon is aquate process, because both categories of bon are government issueantherefore have a very similar sensitivity to risk factors. However, this is not a perfemapping sinthe sensitivity of both classes of bon to specific risk factors (i.e., changes in interest rates) mffer. 如题

2024-03-05 03:44 1 · 回答

NO.PZ2018122701000041 问题如下 Computing Von a portfolio containing a very large number of positions csimplifiemapping these positions to a smaller number of elementary risk factors. Whiof the following mappings woulaquate? USEUR forwarcontracts are mappeon the USJPY spot exchange rate. Eaposition in a corporate bonportfolio is mappeon the bonwith the closest maturity among a set of government bon. Government bon paying regulcoupons are mappeon zero-coupon government bon. A position in the stomarket inx is mappeon a position in a stowithin thinx. C is correct. 考点 ： Risk Factor 解析 ： Mapping government bon paying regulcoupons onto zero coupon government bon is aquate process, because both categories of bon are government issueantherefore have a very similar sensitivity to risk factors. However, this is not a perfemapping sinthe sensitivity of both classes of bon to specific risk factors (i.e., changes in interest rates) mffer. mapping怎么做以及在哪? 谢谢

2023-08-13 19:47 1 · 回答

NO.PZ2018122701000041 问题如下 Computing Von a portfolio containing a very large number of positions csimplifiemapping these positions to a smaller number of elementary risk factors. Whiof the following mappings woulaquate? USEUR forwarcontracts are mappeon the USJPY spot exchange rate. Eaposition in a corporate bonportfolio is mappeon the bonwith the closest maturity among a set of government bon. Government bon paying regulcoupons are mappeon zero-coupon government bon. A position in the stomarket inx is mappeon a position in a stowithin thinx. C is correct. 考点 ： Risk Factor 解析 ： Mapping government bon paying regulcoupons onto zero coupon government bon is aquate process, because both categories of bon are government issueantherefore have a very similar sensitivity to risk factors. However, this is not a perfemapping sinthe sensitivity of both classes of bon to specific risk factors (i.e., changes in interest rates) mffer. 老师这道题虽然选这个，但解析的最后一句话However, this is not a perfemapping sinthe sensitivity of both classes of bon to specific risk factors (i.e., changes in interest rates) mffer. 是不是理解为4个相对来说附息国债可以去mapping零息债，但却不是最好的？

2023-07-04 17:07 1 · 回答

NO.PZ2018122701000041 问题如下 Computing Von a portfolio containing a very large number of positions csimplifiemapping these positions to a smaller number of elementary risk factors. Whiof the following mappings woulaquate? USEUR forwarcontracts are mappeon the USJPY spot exchange rate. Eaposition in a corporate bonportfolio is mappeon the bonwith the closest maturity among a set of government bon. Government bon paying regulcoupons are mappeon zero-coupon government bon. A position in the stomarket inx is mappeon a position in a stowithin thinx. C is correct. 考点 ： Risk Factor 解析 ： Mapping government bon paying regulcoupons onto zero coupon government bon is aquate process, because both categories of bon are government issueantherefore have a very similar sensitivity to risk factors. However, this is not a perfemapping sinthe sensitivity of both classes of bon to specific risk factors (i.e., changes in interest rates) mffer. 老师这道题我看了一下解析和之前同学的题目，感觉这个mapping就必须是前后两个（被mapping的投资工作和maping的投资工具）的risk factor要尽可能一致才有可能去比较好的mapping？

2023-07-01 11:35 1 · 回答