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speakingcat · 2021年08月08日

答案与视频矛盾

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000082

问题如下：

Gabrielle, a trader, is about to set up a regression hedge.She would sell $500,000 of a Treasury bond and purchase TIPS as a hedge. According to historical figures, the DV01on the T-bond is 0.085, the DV01on the TIPS is 0.063, and the regression beta coefficient (hedge adjustment factor) is 1.1. How much TIPS should Gabrielle purchase?

选项：

A.

$336,898.

B.

$407,647.

C.

$613,276.

D.

$742,063

解释：

D is correct.

考点：Regression hedge

解析：

Defining FRF^R and FNF^N as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as DV01RDV01^R and DV01NDV01^N, a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follow:

FR=FN×[DV01NDV01R]×βFR=500,000×[0.0850.063]×1.1=742,063F^R=F^N\times{\lbrack\frac{DV01^N}{DV01^R}\rbrack}\times\beta\\F^R=500,000\times{\lbrack\frac{0.085}{0.063}\rbrack}\times1.1=742,063

答疑老师一直说的是β=用来hedge的/需要被hedge的。但是基础课视频该章节1.5倍速约8分30秒处，李老师提到自变量为用来hedge的（因为很多），与本题解析矛盾。请问实际做题中以哪个为准？

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3 个答案

品职答疑小助手雍 · 2021年08月09日

嗨，努力学习的PZer你好：


你是说这个位置么？

我觉得不矛盾，beta就是△yB/△yH=1.1，带进公式就可以啦~

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品职答疑小助手雍 · 2021年08月09日

答案选的是D啊，70多万那个

speakingcat · 2021年08月09日

刚说错了，按李老师的算法是选c

品职答疑小助手雍 · 2021年08月08日

嗨，爱思考的PZer你好：


李老师说的为准，按李老师讲的那个公式，推出来的就是本题用的那个式子。

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加油吧，让我们一起遇见更好的自己！

speakingcat · 2021年08月09日

不是啊，刚好相反。如果用李老师的公式应该选70多万那个。

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2022-04-10 18:54 1 · 回答

NO.PZ2018122701000082问题如下 Gabrielle, a trar, is about to set up a regression hee.She woulsell $500,000 of a Treasury bonanpurchase TIPS a hee. Accorng to historicfigures, the 01on the T-bonis 0.085, the 01on the TIPS is 0.063, anthe regression beta coefficient (hee austment factor) is 1.1. How muTIPS shoulGabrielle purchase? A.$336,898.B.$407,647.C.$613,276.$742,063 is correct.考点Regression hee解析fining FRF^RFR anFNF^NFN the faamounts of the reannominbon, respectively, antheir corresponng 01s 01R01^R01R an01N01^N01N, a 01 hee is austethe hee austment factor, or betfollow:FR=FN×[01N01R]×βFR=500,000×[0.0850.063]×1.1=742,063F^R=F^N\times{\lbrack\frac{01^N}{01^R}\rbrack}\times\beta\\F^R=500,000\times{\lbrack\frac{0.085}{0.063}\rbrack}\times1.1=742,063FR=FN×[01R01N​]×βFR=500,000×[0.0630.085​]×1.1=742,063 如何判断谁是谁的1.1倍，如何判断回归里谁是自变量谁是因变量

2022-04-10 18:30 1 · 回答

NO.PZ2018122701000082 系数是1.1 代表yTreasury=1.1yTIPS 那么如果题目给的是nominal和rerate的比例的话，yTreasury是rerate还是nominrate？

2021-03-23 21:56 2 · 回答