洪同學(xué)
2023-07-30 14:50fixed income mapping中每種方法對應(yīng)的是哪種風(fēng)險因子??？ 為什么B選項(xiàng)說是平均到期時間錯了，這個平均到期時間是duration mapping嗎？ 能否給出對應(yīng)的因子
所屬：FRM Part II > Market Risk Measurement and Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Michael助教
2023-07-31 18:35
該回答已被題主采納
學(xué)員你好。
I. Under the cash flow mapping approach【這個是principal mapping】, only the risk associated with the average maturity of a fixed-income portfolio is mapped.
II. Cash flow mapping is the least【應(yīng)該是most】 precise method of risk mapping for a fixed-income portfolio.
III. Under the duration mapping approach, the risk of a bond is mapped to a zero-coupon bond of the same duration.【正好映射到久期，這個沒問題的】
IV. Using more risk factors generally leads to better risk measurement but also requires more time to be devoted to the modeling process and risk computation.【正確，典型的例子就是CF mapping】
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