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shan
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1768天前
jason 2020-09-11 09:13
致精进的你:
Principal mapping: Includes only the risk of repayment of the principal amounts. This method considers the average maturity of the portfolio.Duration mapping: The risk of the bond is mapped to a zero- coupon bond of the same duration. Duration mapping uses the duration of the portfolio to calculate the VaR.零息债券的风险小于有coupon债券的风险，所以duration mapling这种mapped to a zero- coupon bond of the same duration的方式求出的var小于principle mapping的var
The real talent is resolute aspirations.
真正的才智是刚毅的志向。
