NO.PZ2020033001000051
问题如下：
If a fixed-income investment manager is concerned about the dispersion of the change in the nominal yield for a change in the real yield, which hedging method is effective when he carries out fixed-income hedging?
选项：
A.Regression hedge.
B.DV01 hedge.
C.convexity hedge.
D.Principal hedge.
解释：
A is correct.
考点：Empirical Approaches To Risk Metrics And Hedging
解析：DV01 hedge 假设了债券和假定的对冲工具的收益率上升和下降相同的基点数； 因此，对于DV01 hedge，交易者无法顾及名义利率与实际利率之间的变化差异。
我一看见dispersion就觉得和convexity有关 可能是CF的dispersion越大 convexity越大那里吧
但是convexity regression和principal regression不是应该比simple regression hedge更加准确吗？
考虑的更多呀~
A要是能对 CD应该都能对吧~
求详细讲讲哇咔咔~~
谢谢~~
