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seven-zhu · 2021年07月18日

No.PZ2018122701000081 (选择题)

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000081

问题如下：

The trading department of Dragon Fruit Bank now has a hedging position based on the duration. They shorted the $ 500 million U.S. Treasury bond and bought the $ 473 million U.S. TIPS. The analysis department of the bank has just made a regression analysis of the nominal interest rate and real interest rate, and found that when the nominal interest rate changes by 1 basis point, the real interest rate changes by 0.992 basis points. Based on this relationship, how should the trading department adjust their existing positions?

选项：

A.

There is no need to change the position.

B.

purchase $3.8 million TIPS.

C.

Purchase $4.8 million Treasury bond

D.

Sell $3.8 million TIPS

解释：

B is correct.

考点：Empirical Approaches To Risk Metrics And Hedging

解析：因为利率变化不同，原有的duration hedge平衡被打破了，实际需要的TIPS是473/0.992=476.8 million。所以要再买3.8million的TIPS。



为什么1bp对应的是$ 500 million U.S. Treasury bon， 0.992 basis points对应的是bought the $ 473 million U.S. TIPS呢

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品职答疑小助手雍 · 2021年07月18日

嗨，努力学习的PZer你好：


我其实没太看懂你问题的描述。

题目给的条件就是，如果两者利率变化是1比1的话，short 500m的treasuy和long 473的TIPS是完美对冲的。

但是现在发现他俩的利率变化不是1比1了才需要调整。

因为TIPS的利率变化迟缓，所以要long更多的TIPS。要对应500m的treasure那就要有1*473的变化，而这是由0.992*X带来的，所以总共需要473/0.992的TIPS，再减一下就出来要再买多少了。

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努力的时光都是限量版，加油！

seven-zhu · 2021年08月02日

怎么从题目里面看出tips的利率迟缓的呢，1bp nominal interest rate 对应 0.992 real interest rate change就表示 tips的利率迟缓吗？

王楚溪 · 2022年02月16日

老师，想请教一下这里TIPS的利率变化迟缓，可以通过short更多的treasury bond来达到新的平衡吗？还是说treasury bond的头寸是固定的，是我们想要来对冲的，所以只能调整对冲工具（TIPS），而不能改变T-Bond？

品职答疑小助手雍 · 2022年02月16日

同学你好，两个方面调节都可以，只不过选项里合适的只有继续买TIPS的这个。

品职答疑小助手雍 · 2021年08月02日

嗨，从没放弃的小努力你好：


tips是反应实际利率的债券，题目说1bp名义对应0.992实际利率变动，那就是实际利率变动的慢，也就是tips变动的慢

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努力的时光都是限量版，加油！

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NO.PZ2018122701000081 问题如下 The trang partment of agon Fruit Bank now ha heing position baseon the ration. They shortethe $ 500 million U.S. Treasury bonanbought the $ 473 million U.S. TIPS. The analysis partment of the bank hjust ma a regression analysis of the nomininterest rate anreinterest rate, anfounthwhen the nomininterest rate changes 1 basis point, the reinterest rate changes 0.992 basis points. Baseon this relationship, how shoulthe trang partment aust their existing positions? There is no neeto change the position. B.purchase $3.8 million TIPS. C.Purchase $4.8 million Treasury bon Sell $3.8 million TIPS B is correct.考点EmpiricApproaches To Risk MetriAnHeing解析因为利率变化不同，原有的ration hee平衡被打破了，实际需要的TIPS是473/0.992=476.8 million。所以要再买3.8million的TIPS。 如题

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