single-variable-regression

  1. 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...
    • Pam Gordon
    • Thread
    • dv01-neutral-hedge fixed-income offsetting-position regression-hedge single-variable-regression
    • Replies: 11
    • Forum: FRM® Practice Questions
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