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中二 · 2020年02月13日

问一道题:NO.PZ2016070201000051 [ FRM II ]

问题如下:

If a trader is creating a fixed income hedge, which hedging methodology would be least effective if the trader is concerned about the dispersion of the change in the nominal yield for a particular change in the real yield?

选项:

A.

One-variable regression hedge.

B.

DV01 hedge.

C.

Two-variable regression hedge.

D.

Principal components hedge.

解释:

The DV0l hedge assumes that the yield on the bond and the assumed hedging instruments rises and falls by the same number of basis points; so with a DV01 hedge, there is not much the trader can do to allow for dispersion between nominal and real yields.

请问这是在讲义的那一页啊?是市场风险章节吗?

1 个答案

品职答疑小助手雍 · 2020年02月14日

同学你好,这道题对应知识点所在章节是 Empirical approaches to risk metrics and hedging,DV01的缺点。

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