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梦梦 · 2025年03月30日

映射不应该映射到风险因子吗

  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.

老师好，不明白为什么A错，C对，mapping不是要映射到风险因子吗？债券的风险因子不就是利率吗？C是债券映射到债券，这也是映射？A为什么错呢？

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1 个答案

李坏_品职助教 · 2025年03月31日

嗨，从没放弃的小努力你好：


mapping的宗旨是把原本复杂的风险来源，映射到多个或者单个相关的风险因子进行处理。A选项说的是把欧元的汇率映射到日元汇率，这个就不合适了。欧元区的经济发展和日本地区的经济发展并不是完全高度相关的，所以不能这样处理。而且mapping一般是用于债券风险的映射，外汇很少这样用。

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