请解释一下a和c

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：

Regression hedge approach automatically provides an estimate of the volatility of the hedged portfolio.

Using regression hedge,the trader may estimate how much the nominal yield changes, on average, given a change in the TIPS yield.

They both considered curve risk.

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。

老师好，a和d为什么是对的？

a，对冲工具哪里考虑了波动率？

d说1:1，这是对的？为啥？

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1 个答案

李坏_品职助教 · 2025年03月26日

嗨，爱思考的PZer你好：

A: Regression hedge approach指的是建立线性回归模型计算对冲系数β，从而完成对冲。假设资产组合是Y，对冲工具是X，在一元回归的情况下，β = ρ * σ_Y / σ_X，可以看到对冲系数的公式里面的确考虑到了资产组合Y的波动率，A正确。

D: DV01对冲，是假设Tbond与Tips的变动是1:1，这是讲义的原文：

DV01对冲是假设资产组合与对冲工具之间是完全同步变化，就是当利率变化1个点的时候，T bond与TIPs这两个的相关利率（名义利率与实际利率）的变动是1:1的关系。

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