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中二 · 2020年02月14日

问一道题:NO.PZ2016070201000054 [ FRM II ]

问题如下:

What does the regression hedge assume about the hedge coefficient, beta?

选项:

A.

It moves in lockstep with real rates.

B.

It stays constant over time.

C.

It generally tracks nominal rates over time.

D.

It is volatile over time, similar to both real and nominal rate.

解释:

It should be pointed out that while it is true that the regression hedge assumes a constant beta, this is not a realistic assumption; thus, it is best to estimate beta over several time periods and compare accordingly.

讲义里好像没有提到β是恒定不变的?(如果有,麻烦老师告知在哪个地方)这是结论么?

1 个答案

品职答疑小助手雍 · 2020年02月14日

同学你好,这个不是将以上写的内容,我觉得还是有必要理解一下的,所谓的regression hedge(不是动态对冲),其实就是一直用确定的线性关系对冲,也就隐含了,第一次回归完之后,这个beta也不再改了的假设。

如果是动态对冲的话,是会计算beta的变化,调整仓位的。