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很不酷 · 2021年01月18日

问一道题：NO.PZ2018122701000081

  1. FRM II
  2. Market Risk Measurement And Management

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。

麻烦讲一下这道题，不理解为什么473/0.992.

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1 个答案

袁园_品职助教 · 2021年01月19日

同学你好！

这道题一开始的平衡状态是 -500*D1+473*D2=0

后来考虑了regression，也就是两个债券利率变化不一致，等式就变成 -500*D1*1+Tips*D2*0.992=0

可以看出 Tips *0.992 = 473，所以 Tips = 473/0.992

菱秋秋 · 2021年09月09日

请问怎样看出“Tips *0.992 = 473”的?

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NO.PZ2018122701000081 问题如下 The trang partment of agon Fruit Bank now ha heing position baseon the ration. They shortethe $ 500 million U.S. Treasury bonanbought the $ 473 million U.S. TIPS. The analysis partment of the bank hjust ma a regression analysis of the nomininterest rate anreinterest rate, anfounthwhen the nomininterest rate changes 1 basis point, the reinterest rate changes 0.992 basis points. Baseon this relationship, how shoulthe trang partment aust their existing positions? There is no neeto change the position. B.purchase $3.8 million TIPS. C.Purchase $4.8 million Treasury bon Sell $3.8 million TIPS B is correct.考点EmpiricApproaches To Risk MetriAnHeing解析因为利率变化不同，原有的ration hee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。 如题

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