juliola
2019-09-02 23:05The diversified VaR is lower due to two factors. First, risk measures are not perfectly linear with maturity.求解釋…
所屬:FRM Part II 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Robin Ma助教
2019-09-03 10:33
該回答已被題主采納
同學(xué)你好,The diversified VaR is lower due to two factors. First, risk measures are not perfectly linear with maturity.這句話是相對(duì)于principle mapping而言的,principle只考慮maturity,而cash flow考慮現(xiàn)金流的相關(guān)性,因此他算出來(lái)的var和到期期限不是完全正相關(guān)的。第二句其實(shí)是對(duì)cash flow mapping考慮相關(guān)性的重復(fù)解釋,算是強(qiáng)調(diào)說(shuō)明吧。
