NO.PZ2020033001000051
问题如下：
If a fixed-income investment manager is concerned about the dispersion of the change in the nominal yield for a change in the real yield, which hedging method is effective when he carries out fixed-income hedging?
选项：
A.
Regression hedge.
B.
DV01 hedge.
C.
convexity hedge.
D.
Principal hedge.
解释：
A is correct.
考点：Empirical Approaches To Risk Metrics And Hedging
解析：DV01 hedge 假设了债券和假定的对冲工具的收益率上升和下降相同的基点数； 因此，对于DV01 hedge，交易者无法顾及名义利率与实际利率之间的变化差异。
主成分分析为什么不对？主成分分析难道不也是抓住主要影响因素和要对冲资产的线性关系吗？
