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天王老子 · 2021年09月05日

ACD选项都讲解下 谢谢

  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.

ACD选项都讲解下 谢谢

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李坏_品职助教 · 2021年09月05日

嗨，从没放弃的小努力你好：


A的USD/EUR远期合约，这里是美元兑欧元的外汇，不能直接用美元兑日元来mapping，这两种外汇之间关联性太低。一般也不可能把外汇远期做mapping。


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会极大的低估风险


C的government bond和zeros都是政府发行的债券，有类似的风险因子。


D 股票大盘指数的风险因子包括了影响整个股市的因子，可能有几千几万只股票的影响因子。不能直接用一只股票来Mapping

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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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