NO.PZ2020033001000053
问题如下：
Regarding the advantages of regression hedge and the disadvantages of DV01 hedge, which of the following is wrong?
选项：
A.Regression hedge approach automatically provides an estimate of the volatility of the hedged portfolio.
B.Using regression hedge,the trader may estimate how much the nominal yield changes, on average, given a change in the TIPS yield.
C.They both considered curve risk.
D.DV01 hedge assumes that the T-bond and the TIPS are perfectly co-dependent, meaning they move 1:1. In reality, empirical data show this is not the case.
解释：
C is correct.
考点：Empirical Approaches To Risk Metrics And Hedging
解析：DV01 hedge没有考虑curve risk。
看了回答，还是没有理解透彻。DV01hedge是基于久期来考虑的。Δ=H*D*Δy的条件是利率和P的变化是线性的吗。这个概念还没理解明白。
