FRM真題對于備考中的考生來說是非常重要的，一定要做大量的練習題，尤其是近幾年的真題。那么，FRM考試哪里有真題解析？

下面是小編列舉的相關真題，希望對備考的你有所幫助，具體解析隨融躍小編往下看：

If a trader is creating a fixed income hedge, which hedging methodology would be least effective if the trader is concerned about the dispersion of the change in the nominal yield for a particular change in the real yield?

A) One-variable regression hedge.

B) DV01 hedge

C) Two-variable regression hedge.

D) Principal components hedge.

答案：B

解析：The DV01 hedge assumes that the yield on the bond and the assumed hedging instruments rises and falls by the same number of basis points; so with a DV01 hedge, there is not much the trader can do to allow for dispersion between nominal and real yields.

Assume that a trader is making a relative value trade, selling a U.S. Treasury bond and correspondingly purchasing a U.S. Treasury TIPS. Based on the current spread between the two securities, the trader shorts $100 million of the nominal bond and purchases $89.8 million of TIPS. The trader then starts to question the amount of the hedge due to changes in yields on TIPS in relation to nominal bonds. He runs a regression and determines from the output that the nominal yield changes by 1.0274 basis points per basis point change in the real yield. Would the trader adjust the hedge, and if so, by how much?【資料下載】FRM一級思維導圖PDF版

A) No.

B) Yes, by $2.46 million (purchase additional TIPS)

C) Yes, by $2.5 million (sell a portion of the TIPS)

D) Yes, by $2.11 million (Purchase additional TIPS)

答案：B

解析：The trader would need to adjust the hedge as follow:

$89.8 million×1.0274 = $92.26 million

Thus, the trader needs to purchase additional TIPS worth $2.46 million.

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