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。
1.其实这里的curve risk和二阶导是没有关系的吧？我以为说是需要考虑到二阶导，才能说考虑到利率不平行移动的问题？
2.所以说利率不平行移动，说的是两个金融工具之间的利率变动是一样的。而不是说单一金融工具的yield curve平行移动（不存在凸性）？
