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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.
