劃重點(diǎn)！FRM二級(jí)市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-對(duì)沖調(diào)整因子

FRM考生注意！劃重點(diǎn)啦！今日整理知識(shí)點(diǎn)：FRM二級(jí)市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-對(duì)沖調(diào)整因子。市場(chǎng)風(fēng)險(xiǎn)計(jì)量與管理在FRM考試科目中可以算是一個(gè)知識(shí)點(diǎn)較多的板塊，且在整個(gè)考試中的占比為20%，分?jǐn)?shù)占比還是很高的，大家一定要重點(diǎn)進(jìn)行學(xué)習(xí)?。?/p>

正保會(huì)計(jì)網(wǎng)校的老師不光給大家總結(jié)了知識(shí)點(diǎn)，還結(jié)合了精選例題，給大家做了細(xì)致的講解，一起來(lái)學(xué)習(xí)一下吧！

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 ●知識(shí)點(diǎn)：對(duì)沖調(diào)整因子● 

Hedge adjustment factor

?Defining FR and FN as the face amounts of the real and nominal bonds, respectively, and their corresponding DV01s as DV01R and DV01N, a DV01 hedge is adjusted by the hedge adjustment factor, or beta, as follows:

?？键c(diǎn)：

1. 當(dāng)原對(duì)沖做好，β又發(fā)生變化時(shí)，不需要知道DV01的數(shù)值，可根據(jù)beta變化情況算出新的對(duì)沖所需合約。

2. 注意公式中，分母為real bonds的DV01, 分子為nominal bonds的DV01。

例題：

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 DV01 on the TIPS is 0.084，DV01 on the t bond is 0.068, and the hedge adjustment factor (regression beta coefficient) is 1.2.

What is the face value of the offsetting TIPS position needed to carry out this regression hedge?

A.$88,462

B.$97,143

C.$108,149

D.$125,063

【正確答案】B

【答案解析】FR=$100,000 ×(0.068/0.084)× 1.2 = $97,142.8571

以上就是FRM二級(jí)市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-對(duì)沖調(diào)整因子的相關(guān)內(nèi)容，后期小編會(huì)持續(xù)給大家更新相關(guān)重要知識(shí)點(diǎn)，小伙伴們可以關(guān)注【 備考經(jīng)驗(yàn) 】欄目查看！

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