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shan
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1768天前
jason 2020-09-04 11:53
致精进的你:
1.久期映射不考虑中间过程的现金流，本金映射同样不考虑coupona；2.选项A没有说明本金映射和现金流是相同的var
The real talent is resolute aspirations.
真正的才智是刚毅的志向。
追问12020-09-04 22:31
老师好，既然使用久期mapping和本金mapping都不考虑中间现金流，是怎么判断使用久期映射算出来的var小于使用本金映射的呢？
回答2020-09-07 09:37
With duration mapping, a portfolio is replaced by a zero-coupon bond with maturity equal to the duration of the portfolio. The risk of the hypothetical zeros is less than the risk of a coupon bond of comparable maturity. Therefore, the portfolio VaR using duration mapping is less than the portfolio VaR using principal mapping.
