划重点！FRM二级市场风险重要知识点-映射

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FRM考生注意！划重点啦！今日整理知识点：FRM二级市场风险重要知识点-映射。市场风险计量与管理在FRM考试科目中可以算是一个知识点较多的板块，且在整个考试中的占比为20%，分数占比还是很高的，大家一定要重点进行学习！！

正保会计网校的老师不光给大家总结了知识点，还结合了精选例题，给大家做了细致的讲解，一起来学习一下吧！

先来看看Alex老师的整体知识点介绍，更好理解呦！

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●知识点：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.

常考点：

1. 现金流映射会比其他两种方法产生更加精确的结果。

2. 本金映射只考虑本金到期时间的相关风险。

3. 使用的风险因子越多通常结果越准确，但也会使模型更复杂，所需要的计算更多。

例题：

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

【正确答案】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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