NO.PZ2022062755000009
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 mapping techniques for
the given positions is the most appropriate?
选项：
A.USD/EUR forward contracts are mapped to the USD/EUR spot exchange rate.
Each position in a corporate bond portfolio is mapped to the bond with the closest maturity among a set
of government bonds.
Zero-coupon government bonds are mapped to government bonds paying regular coupons.
A position in the stock market index is mapped to a position in a stock within that index.
解释：
中文解析：
A正确，汇率的期货合同是可以mapping到汇率的即期利率的。可以将很多头寸mapping到少数的头寸上。
A is correct. Mapping several USD/EUR forward contracts to USD/EUR spot exchange rate is an adequate process, because all the forward positions are exposed to a single major risk factor, which is the USD/EUR spot exchange rate. However, this is not a perfect mapping (for instance, the sensitivity of both the forward and the spot exchange rates to a specific risk factor such as changes in interest rates, may differ). While the single aggregation of exposure of this risk factor is acceptable for risk measurement, it is not adequate for pricing of the portfolio.
B is incorrect because any bond must be mapped on yields that best represent its current profile and the yield differences between the corporate bonds and the government bonds disqualify this as the best mapping.
C is incorrect because such procedure maps a simple single source of uncertainty (the payoff at the maturity) to multiple sources of uncertainty (coupon payments and the payoff at the maturity) which violates the first principle of mapping, simplify the source of uncertainty.
D is also incorrect as the stock market index is a more diversified factor than a single
stock. In fact, it is usually the reverse, i.e., a position of stock within an index is mapped to
a position in that index.
如题
