开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

𝒜𝒩𝒥𝒜 安雅🎃 · 2023年08月15日

这题涉及到了regression hedge吗？

  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。

我看见when the nominal interest rate changes by 1 basis point, the real interest rate changes by 0.992 basis points. 以为是在讲beta，能写出Yb = beta * Yh。

添加评论
1 个答案
已采纳答案

李坏_品职助教 · 2023年08月16日

嗨，从没放弃的小努力你好：


这个题比较特殊，虽然是属于regression hedge，但是不需要计算beta。我们只要保证△Treasury+△TIPS=0这个对冲等式成立就可以了。

不考虑利率变化不同时的对冲等式：-500*D1+473*D2=0，这个等式意思是：假如nominal 和real interest rate变动幅度一样的话。

但是二者变动幅度不一样，所以：考虑了利率变化不同时的对冲等式：-500*D1*1+Tips*D2*0.992=0


两个等式如果都要成立的话：

Tips *0.992 = 473

所以我们可以算出来 Tips = 473/0.992

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 328

    浏览
相关问题

NO.PZ2018122701000081 问题如下 The trang partment of agon Fruit Bank now ha heing position baseon the ration. They shortethe $ 500 million U.S. Treasury bonanbought the $ 473 million U.S. TIPS. The analysis partment of the bank hjust ma a regression analysis of the nomininterest rate anreinterest rate, anfounthwhen the nomininterest rate changes 1 basis point, the reinterest rate changes 0.992 basis points. Baseon this relationship, how shoulthe trang partment aust their existing positions? There is no neeto change the position. B.purchase $3.8 million TIPS. C.Purchase $4.8 million Treasury bon Sell $3.8 million TIPS B is correct.考点EmpiricApproaches To Risk MetriAnHeing解析因为利率变化不同，原有的ration hee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。 如题

2024-03-14 12:15 3 · 回答

NO.PZ2018122701000081问题如下 The trang partment of agon Fruit Bank now ha heing position baseon the ration. They shortethe $ 500 million U.S. Treasury bonanbought the $ 473 million U.S. TIPS. The analysis partment of the bank hjust ma a regression analysis of the nomininterest rate anreinterest rate, anfounthwhen the nomininterest rate changes 1 basis point, the reinterest rate changes 0.992 basis points. Baseon this relationship, how shoulthe trang partment aust their existing positions? There is no neeto change the position. B.purchase $3.8 million TIPS.C.Purchase $4.8 million Treasury bon. Sell $3.8 million TIPS B is correct.考点EmpiricApproaches To Risk MetriAnHeing解析因为利率变化不同，原有的ration hee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。 请问此题有何公式可用？为何没有久期？谢谢

2023-08-08 15:48 1 · 回答

NO.PZ2018122701000081 问题如下 The trang partment of agon Fruit Bank now ha heing position baseon the ration. They shortethe $ 500 million U.S. Treasury bonanbought the $ 473 million U.S. TIPS. The analysis partment of the bank hjust ma a regression analysis of the nomininterest rate anreinterest rate, anfounthwhen the nomininterest rate changes 1 basis point, the reinterest rate changes 0.992 basis points. Baseon this relationship, how shoulthe trang partment aust their existing positions? There is no neeto change the position. B.purchase $3.8 million TIPS. C.Purchase $4.8 million Treasury bon Sell $3.8 million TIPS B is correct.考点EmpiricApproaches To Risk MetriAnHeing解析因为利率变化不同，原有的ration hee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。 老师我理解这道题的做法，就是通过hee算出tresury bonTIPS之间ration的关系，然后在通过regression去求出需要对冲的头寸。只是我有个疑问，在这道题里面是说名义利率变动1%实际利率变动0.992，基础班的时候李老师说一定要让对冲工具作为自变量，要对冲的作为因变量。因为对冲工具可以有很多，那这道题里面我改怎么判断自变量因变量呢？

2023-07-04 10:50 1 · 回答

NO.PZ2018122701000081 purchase $3.8 million TIPS. Purchase $4.8 million Treasury bon Sell $3.8 million TIPS B is correct. 考点EmpiricApproaches To Risk MetriAnHeing 解析因为利率变化不同，原有的ration hee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TBonrate对应就是 nomininterest rate TIPS对应就是 reinterest rate ‘之后其他题目也可以这样判断对吗

2022-08-01 10:59 1 · 回答