劃重點！FRM二級市場風險重要知識點-映射

FRM考生注意！劃重點啦！今日整理知識點：FRM二級市場風險重要知識點-映射。市場風險計量與管理在FRM考試科目中可以算是一個知識點較多的板塊，且在整個考試中的占比為20%，分數(shù)占比還是很高的，大家一定要重點進行學習??！

正保會計網(wǎng)校的老師不光給大家總結(jié)了知識點，還結(jié)合了精選例題，給大家做了細致的講解，一起來學習一下吧！

先來看看Alex老師的整體知識點介紹，更好理解呦！

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 ●知識點：映射● 

Hedge adjustment factor

Mapping for fixed-income securities

?Principal mapping. This method includes only the risk of repayment of principal amounts.

?Duration mapping. With this method, the risk of the bond is mapped to a zero-coupon bond of the same duration.

?Cash flow mapping. With this method, the risk of the bond is decomposed into the risk of each of the bond’s cash flows.

?？键c：

1. 現(xiàn)金流映射會比其他兩種方法產(chǎn)生更加精確的結(jié)果。

2. 本金映射只考慮本金到期時間的相關風險。

3. 使用的風險因子越多通常結(jié)果越準確，但也會使模型更復雜，所需要的計算更多。

例題：

In fixed income portfolio mapping, when the risk factors have been selected, which of the following mapping approaches requires that one risk factor be chosen that corresponds to portfolio duration?

A. Principal mapping

B. Duration mapping

C. Present value mapping

D. Cash flow mapping

【正確答案】B

【答案解析】With principal mapping, one risk factor is chosen that corresponds to the average portfolio maturity. With duration mapping, one risk factor is chosen that corresponds to the portfolio duration. With cash flow mapping, the portfolio cash flows are grouped into maturity buckets. Present value mapping is not a method of VaR mapping for fixed income portfolios.

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