什么叫分散化VaR？

NO.PZ2018122701000044

问题如下：

Under these assumptions - in particular: a flat yield curve and constant yield volatility of 1.0% - why can we expect cash flow mapping to produce a lower diversified VaR than either duration and principal mapping?

选项：

The risk measures are non-linear.

Due to imperfect correlations between pairwise risk factors.

Fewer total cash flows will be mapped.

We cannot expect a lower diversified VaR.

解释：

B is correct.

考点 $：$ Mapping to Fixed Income Portfolios

解析 $：$ The diversified VaR is lower due to two factors. First, risk measures are not perfectly linear with maturity. Second, correlations are below unity, which reduces risk even further.

老师好，什么叫“diversified VaR”？分散化的VaR？啥叫分散化的VaR？

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1 个答案

李坏_品职助教 · 2025年03月30日

嗨，努力学习的PZer你好：

这个就是考虑了分散化效果之后的VaR。也就是在VaR计算的过程中考虑了不同的风险因子之间的相关系数ρ。

duration mapping和princaipal mapping都是单因子，VaR的结果完全取决于单因子的大小。而cash flow mapping是考虑了多阶段现金流的风险，所以是多个因子，在因子与因子之间有相关性，只要相关性小于1，就可以起到降低组合VaR的效果。

这就好比计算两个股票组合之后的标准差，ρ小于1的时候就有分散化的效果。可以参考FRM 1级 quant科目。

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