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Coco · 2021年09月23日

D principal component hedge 是什么？

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2016070201000051

问题如下：

If a trader is creating a fixed income hedge, which hedging methodology would be least effective if the trader is concerned about the dispersion of the change in the nominal yield for a particular change in the real yield?

选项：

A.

One-variable regression hedge.

B.

DV01 hedge.

C.

Two-variable regression hedge.

D.

Principal components hedge.

解释：

The DV0l hedge assumes that the yield on the bond and the assumed hedging instruments rises and falls by the same number of basis points; so with a DV01 hedge, there is not much the trader can do to allow for dispersion between nominal and real yields.

D principal component hedge 是什么？

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1 个答案

DD仔_品职助教 · 2021年09月24日

嗨，从没放弃的小努力你好：


同学你好~

这个是主成分hedge，也就是主成分分析，是通过电脑进行多元回归找出系数最大的那一项或者几项，这说明他或他们是主要影响因素，通过分析主要影响因素来进行对冲的一种方法。

这部分在我们讲义193页，具体如下：

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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