13. 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. A position in the stock market index is mapped on a position in a stock within that index.

COMPUTING VAR ON A PORTFOLIO CONTAINING A VERY LARGE NUMBER OF POS...

2015 FRM PRACTICE EXAM

13.

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?

USD/EUR forward contracts are mapped on the USD/JPY spot exchange rate.

Each position in a corporate bond portfolio is mapped on the bond with the closest maturity among a

set of government bonds.

Government bonds paying regular coupons are mapped on zero-coupon government bonds.

A position in the stock market index is mapped on a position in a stock within that index.