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。
我看见when the nominal interest rate changes by 1 basis point, the real interest rate changes by 0.992 basis points. 以为是在讲beta,能写出Yb = beta * Yh。