regression-hedge
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P2.T5.22.15. Fixed income regression and principal component analysis (PCA)
Learning objectives: Calculate the face value of multiple offsetting swap positions needed to carry out a two-variable regression hedge. Compare and contrast level and change regressions. Describe principal component analysis and explain how it is applied to constructing a hedging portfolio...- Nicole Seaman
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- change-regression face-value fixed-income-regression hedging level-regression offsetting-swap-position principal-component-analysis regression-hedge
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- Forum: FRM® Practice Questions
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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...- David Harper CFA FRM
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- beta dv01-neutral-hedge face-value offsetting-position regression-hedge regression-hedge-adjustment-factor
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- Forum: FRM® Practice Questions
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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...- Pam Gordon
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- dv01-neutral-hedge fixed-income offsetting-position regression-hedge single-variable-regression
- Replies: 11
- Forum: FRM® Practice Questions