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Roseline · 2020年01月08日

问一道题：NO.PZ2016070201000051 [ FRM II ]

  1. FRM II
  2. Market Risk Measurement And Management

问题如下图：

选项：

A.

B.

C.

D.

解释：

老师好，能否解释一下D答案为什么正确？

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1 个答案

orange品职答疑助手 · 2020年01月08日

同学你好，本题问的是当标的债券的收益率曲线和用来对冲的收益率曲线变化不一致时，哪一种对冲方法最无效。D选项主成分对冲不在考纲范围内，但它的意思其实挺好猜的，就是对冲最主要的风险、抓主要矛盾。本题考的其实是DV01的假设

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