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lsjlsjlsj · 2022年03月10日

对冲-定义和前提：老师这道题为什么不选A呢

  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.

老师这道题为什么不选A呢

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2 个答案

李坏_品职助教 · 2022年03月21日

嗨，努力学习的PZer你好：


D实际上是利用主成分分析进行债券的对冲，可以看一下基础班讲义P190：

principal compenent 构造的主成分相互之间是不相关的，最大限度的解释了因变量（这本道题是名义利率和实际利率变动的差异），也就是说可以从多个维度去对change of yield进行hedge，可以起到dispersion（分散化、差异化）的效果。

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李坏_品职助教 · 2022年03月10日

嗨，从没放弃的小努力你好：


这道题问的是，下列哪一项针对dispersion of change in nominal yield and real yield（就是名义利率和实际利率变动的差异）是最不有效的？


其他方法都可以针对名义利率和实际利率的变动差异来hedge，只有DV01不行。因为DV01是假定债券的收益率和对冲工具的利率变动同样的基点，对于名义利率和实际利率的差异没有任何作用，所以选最不有效的，就是B

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lsjlsjlsj · 2022年03月21日

老师，请问D有考虑delta Y的变动差异吗 怎么理解

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