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186****1842 · 2021年09月01日

a为什么不对

  1. FRM II
  2. Market Risk Measurement And Management

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：

A.

The risk measures are non-linear.

B.

Due to imperfect correlations between pairwise risk factors.

C.

Fewer total cash flows will be mapped.

D.

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.

​A为什么不对，解答里也提到另一个原因是不完全线性

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1 个答案

李坏_品职助教 · 2022年03月04日

嗨，爱思考的PZer你好：


这道题之前的答复有点问题，我重新写一下哈。


1. diversified VaR 比较小是由于两个原因，一是risk measures与maturity之间不是完美的线性关系（所以只用maturity不够，CF mapping更准确），二是risk measures之间的correlation<1，有分散化效果。


2. 题目里说 a flat yield curve and constant yield volatility of 1.0%，即收益率曲线是水平的，利率波动σ稳定，所以各个maturity的利率的VAR是一样的，那么原因一带来的差异就不明显，所以 diversified VaR 比较小主要就是由于原因二造成的，所以选择B

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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