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Under these assumptions - in particular: a flat yield curve and constant yield volatility of 1.0% - why can we expect cash flow mapping to produce a lower diversified VaR than either duration and principal mapping?

A) The risk measures are non-linear.

B) Due to imperfect correlations between pairwise risk factors.

C) Fewer total cash flows will be mapped.

D) We cannot expect a lower diversified VaR.

答案：B

解析：The diversified VaR is lower due to two factors. First, risk measures are not perfectly linear with maturity. Second, correlations are below unity, which reduces risk even further.

Delta-normal VaR will provide accurate estimates for option contracts when:

A) Deltas are stable

B) Options are at the money

C) The correlation matrix is available

D) The delta-normal method can never be used for option contracts掃描免 費(fèi)預(yù)約

答案：A

解析：Delta-normal VaR methods will provide accurate estimates of VaR for options only over those ranges in which the deltas of the contracts are stable. Deltas are normally unstable near the money and close to expiration

In large, diversified equity portfolios, it is often reasonable to ignore what type of risks in determining VaR?

A) Specific.

B) Beta.

C) Market.

D) Correlation.

答案：A

解析：In large diversified portfolios, specific risk is minimized or eliminated through diversification.

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