问一道题：NO.PZ2020033001000053

问题如下：

Regarding the advantages of regression hedge and the disadvantages of DV01 hedge, which of the following is wrong?

选项：

Regression hedge approach automatically provides an estimate of the volatility of the hedged portfolio.

Using regression hedge,the trader may estimate how much the nominal yield changes, on average, given a change in the TIPS yield.

They both considered curve risk.

DV01 hedge assumes that the T-bond and the TIPS are perfectly co-dependent, meaning they move 1:1. In reality, empirical data show this is not the case.

解释：

C is correct.

考点：Empirical Approaches To Risk Metrics And Hedging

解析：DV01 hedge没有考虑curve risk。

老师好，请问A答案怎么理解？

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品职答疑小助手雍 · 2020年12月28日

嗨，努力学习的PZer你好：

因为DV01 hedge没考虑△y的变化是不一样的，

而regression hedge 考虑了，结合了用来对冲的产品的△y和久期，把原始头寸和对冲产品进行了回归，也就是说regression hedge考虑了用来对冲的产品的波动性。文字见讲义183页原话。

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努力的时光都是限量版，加油！

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问一道题：NO.PZ2020033001000053

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