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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 average portfolio maturity?
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A) Principal mapping
B) Duration mapping
C) Convexity mapping
D) Cash mapping
答案：A
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. Convexity mapping is not a method of VaR mapping for fixed income portfolios.
Computing VaR on a portfolio containing a very large number of positions can be simplified by mapping these positions to a smaller number of elementary risk factors. Which of the following mappings would be adequate?
A) USD/EUR forward contracts are mapped on the USD/JPY spot exchange rate.
B) Each position in a corporate bond portfolio is mapped on the bond with the closest maturity among a set of government bonds.
C) Government bonds paying regular coupons are mapped on zero-coupon
government bonds.
D) Aposition in the stock market index is mapped on a position in a stock within that index.
答案：C
解析：Mapping government bonds paying regular coupons onto zero coupon government bonds is an adequate process, because both categories of bonds are government issued and therefore have a very similar sensitivity to risk factors.
However, this is not a perfect mapping since the sensitivity of both classes of bonds to specific risk factors (i.e., changes in interest rates) may differ.
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