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【估值与风险模型】FRM一级每日练习题

发表时间: 2015-03-06 11:10:22 编辑:金程frm

【估值与风险模型】FRM一级每日练习题

【估值与风险模型】FRM一级每日练习题

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 and as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follows:

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