开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Coco · 2021年09月23日

D principal component hedge 是什么？

  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.

D principal component hedge 是什么？

添加评论
1 个答案

DD仔_品职助教 · 2021年09月24日

嗨，从没放弃的小努力你好：


同学你好~

这个是主成分hedge，也就是主成分分析，是通过电脑进行多元回归找出系数最大的那一项或者几项，这说明他或他们是主要影响因素，通过分析主要影响因素来进行对冲的一种方法。

这部分在我们讲义193页，具体如下：

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 604

    浏览
相关问题

NO.PZ2016070201000051问题如下If a trar is creating a fixeincome hee, whiheing methology woulleast effective if the trar is concerneabout the spersion of the change in the nominyielfor a particulchange in the reyielA.One-variable regression hee.B.01 hee.C.Two-variable regression hee.Principcomponents hee.The 0l hee assumes ththe yielon the bonanthe assumeheing instruments rises anfalls the same number of basis points; so with a 01 hee, there is not muthe trar c to allow for spersion between nominanreyiel.请问平行移动到底表示谁和谁平行？01不是一个绝对金额吗？为什么代表平行移动？谢谢

2023-08-08 15:59 2 · 回答

NO.PZ2016070201000051 问题如下 If a trar is creating a fixeincome hee, whiheing methology woulleast effective if the trar is concerneabout the spersion of the change in the nominyielfor a particulchange in the reyiel A.One-variable regression hee. B.01 hee. C.Two-variable regression hee. Principcomponents hee. The 0l hee assumes ththe yielon the bonanthe assumeheing instruments rises anfalls the same number of basis points; so with a 01 hee, there is not muthe trar c to allow for spersion between nominanreyiel. 想问一下不选择A的理由是因为one-factor的包含了01这种，同时也有考虑了curve risk的regression hee类型嘛？

2023-07-27 22:43 1 · 回答

NO.PZ2016070201000051 问题如下 If a trar is creating a fixeincome hee, whiheing methology woulleast effective if the trar is concerneabout the spersion of the change in the nominyielfor a particulchange in the reyiel A.One-variable regression hee. B.01 hee. C.Two-variable regression hee. Principcomponents hee. The 0l hee assumes ththe yielon the bonanthe assumeheing instruments rises anfalls the same number of basis points; so with a 01 hee, there is not muthe trar c to allow for spersion between nominanreyiel. one variable 怎么versitify呢

2023-01-18 22:43 1 · 回答

NO.PZ2016070201000051 01 hee. Two-variable regression hee. Principcomponents hee. The 0l hee assumes ththe yielon the bonanthe assumeheing instruments rises anfalls the same number of basis points; so with a 01 hee, there is not muthe trar c to allow for spersion between nominanreyiel. 老师这道题为什么不选A呢

2022-03-10 09:02 2 · 回答