【估值與風(fēng)險模型】FRM一級每日練習(xí)題
Assume that a trader wishes to set up a hedge such that he sells $100,000 of a Treasury bond and buys Treasury TIPS as a hedge. Using a historical yield regression framework, assume the hedge adjustment factor (regression beta coefficient) is 1.2 and the DV01 on the T-bond is 0.072, the DV01 on the TIPS is 0.051. Which one of the choices below is the face value of the offsetting TIPS position needed to carry out this regression hedge?
A. $138462.
B. $169412.
C. $268499.
D. $280067
Answer: B
Defining .png)
and .png)
as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as .png)
a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follows:
.png)
關(guān)注微信獲取更多FRM免費課程
.jpg)
.jpg)
