劃重點(diǎn)！FRM二級市場風(fēng)險(xiǎn)重要知識點(diǎn)-映射

FRM考生注意！劃重點(diǎn)啦！今日整理知識點(diǎn)：FRM二級市場風(fēng)險(xiǎn)重要知識點(diǎn)-映射。市場風(fēng)險(xiǎn)計(jì)量與管理在FRM考試科目中可以算是一個(gè)知識點(diǎn)較多的板塊，且在整個(gè)考試中的占比為20%，分?jǐn)?shù)占比還是很高的，大家一定要重點(diǎn)進(jìn)行學(xué)習(xí)??！

正保會(huì)計(jì)網(wǎng)校的老師不光給大家總結(jié)了知識點(diǎn)，還結(jié)合了精選例題，給大家做了細(xì)致的講解，一起來學(xué)習(xí)一下吧！

先來看看Alex老師的整體知識點(diǎn)介紹，更好理解呦！

↓↓↓

 ●知識點(diǎn)：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(diǎn)：

1. 現(xiàn)金流映射會(huì)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(shí)間的相關(guān)風(fēng)險(xiǎn)。

3. 使用的風(fēng)險(xiǎn)因子越多通常結(jié)果越準(zhǔn)確，但也會(huì)使模型更復(fù)雜，所需要的計(jì)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.

以上就是FRM二級市場風(fēng)險(xiǎn)重要知識點(diǎn)-映射的相關(guān)內(nèi)容，后期小編會(huì)持續(xù)給大家更新相關(guān)重要知識點(diǎn)，小伙伴們可以關(guān)注【 備考經(jīng)驗(yàn) 】欄目查看！

相關(guān)推薦>>

【劃重點(diǎn)】FRM P1金融市場與產(chǎn)品重要知識點(diǎn)一周匯總！