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小壹万万呀 · 2022年08月01日

TBond rate 跟 TIPS rate

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000081

问题如下：

The trading department of Dragon Fruit Bank now has a hedging position based on the duration. They shorted the $ 500 million U.S. Treasury bond and bought the $ 473 million U.S. TIPS. The analysis department of the bank has just made a regression analysis of the nominal interest rate and real interest rate, and found that when the nominal interest rate changes by 1 basis point, the real interest rate changes by 0.992 basis points. Based on this relationship, how should the trading department adjust their existing positions?

选项：

A.

There is no need to change the position.

B.

purchase $3.8 million TIPS.

C.

Purchase $4.8 million Treasury bond

D.

Sell $3.8 million TIPS

解释：

B is correct.

考点：Empirical Approaches To Risk Metrics And Hedging

解析：因为利率变化不同，原有的duration hedge平衡被打破了，实际需要的TIPS是473/0.992=476.8 million。所以要再买3.8million的TIPS。

请问TBond rate对应就是 nominal interest rate TIPS对应就是 real interest rate ‘之后其他题目也可以这样判断对吗
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1 个答案

李坏_品职助教 · 2022年08月01日

嗨，爱思考的PZer你好：


可以的，TBond-rate是名义利率，TIPS是剔除通胀因素后的实际利率

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