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Jo · 2024年07月12日

在BC之间纠结，最终还是选了错的。请问B

  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，请问Corp bond 和 Govt bond共同的风险因子，是不是只有interest rate risk啊？也想问问，是由于公司债与政府债的credit risk相差太远，所以也不能用他俩mapping？

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品职答疑小助手雍 · 2024年07月12日

同学你好，是的。B的corporate bonds是有credit risk的，而且risk premium，yield都和Government相差太多。用government bond去做mapping会极大的低估波动和风险

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