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?