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和棋 · 2021年02月18日

请问什么是curverisk

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000053

问题如下：

Regarding the advantages of regression hedge and the disadvantages of DV01 hedge, which of the following is wrong?

选项：

A.

Regression hedge approach automatically provides an estimate of the volatility of the hedged portfolio.

B.

Using regression hedge,the trader may estimate how much the nominal yield changes, on average, given a change in the TIPS yield.

C.

They both considered curve risk.

D.

DV01 hedge assumes that the T-bond and the TIPS are perfectly co-dependent, meaning they move 1:1. In reality, empirical data show this is not the case.

解释：

C is correct.

考点：Empirical Approaches To Risk Metrics And Hedging

解析：DV01 hedge没有考虑curve risk。

请问什么是curverisk

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小刘_品职助教 · 2021年02月19日

同学你好，


curve risk 是指收益率曲线不平行移动的风险，即本身收益率曲线的形态发生了变化。请问我们在使用DV01进行hedge的时候是基于久期的，如果收益率曲线发生了非平行移动，那这个近似就会出现较大的偏差。

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