offsetting-position

  1. David Harper CFA FRM

    P2.T5.22.14. Empirical approaches to fixed income hedging

    Learning objectives: Explain the drawbacks to using a DV01-neutral hedge for a bond position. Describe a regression hedge and explain how it can improve a standard DV01-neutral hedge. Calculate the regression hedge adjustment factor, beta. Calculate the face value of an offsetting position...
  2. Pam Gordon

    P1.T4.321. Fixed income single-variable regression hedge

    AIMs: Explain the drawbacks to using a DV01-neutral hedge for a bond position. Describe a regression hedge and explain how it improves on a standard DV01-neutral hedge. Calculate the regression hedge adjustment factor, beta. Calculate the face value of an offsetting position needed to carry out...
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