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

410140980 · 2023年07月04日

government bond和zero coupon bond之间的映射

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.

老师这道题虽然选这个选项,但解析的最后一句话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. 是不是理解为4个选项相对来说附息国债可以去mapping零息债,但却不是最好的?

1 个答案

李坏_品职助教 · 2023年07月04日

嗨,从没放弃的小努力你好:


对的,附息国债的风险因素和零息债券比较接近,但也不是完全相同的。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 216

    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