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pz-stepsutake · 2020年01月25日

问一道题:NO.PZ2016070201000055

问题如下:

Traci York, FRM, is setting up a regression-based hedge and is trying to decide between a changes-in-yields-on-changes-in-yields approach versus a yields-on-yields approach. Which of the following is a correct statement concerning error terms in these two approaches?

选项:

A.

In both cases, the error terms are completely uncorrelated.

B.

With change-on-change, there is no correlation in error terms, while yield-on- yield error terms are completely correlated.

C.

Error terms are correlated over time with both approaches.

D.

With yield-on-yield, there is no correlation in error terms, while change-on- change error terms are completely correlated

解释:

With the level-on-level approach, error terms are somewhat correlated over time, while with the change-on-change approach, the error terms are completely correlated. Thus, error terms are correlated over time with both approaches.

对照答案后面的解释,和前面问答,感觉level-on-level才是completely correlated,因此利率都是平行变动、利率变动才能实现都约掉;level-on-level才应该是somewhat correlated啊。。。麻烦给确认下。。。谢谢。。。


对照如下:

 

答案后面的解释:With the level-on-level approach, error terms are somewhat correlated over time, while with the change-on-change approach, the error terms are completely correlated. Thus, error terms are correlated over time with both approaches.

 

前面问答:orange品职答疑助手 · 超过 1 年前 同学你好,yield on yield,即level-on-level就是久期对冲,假设利率是平行变动的,所以利率的变动可以约掉;而另一个change on change是认为利率之间的变动不是1:1的关系,所以通过线性回归的方法,求得两者利率变化的关系,即一个不等于1的系数。

1 个答案

orange品职答疑助手 · 2020年02月03日

同学你好,我这个之前回答的是【关于yield on yield 和 change on change 这两种回归分别是什么】的问题。

这道题考的比较偏了,它涉及比较深的计量经济学的知识,这部分知识不在考纲范围内,所以学有余力记一下本题的结论就可以啦。考的概率很小。