level-regression

  1. Nicole Seaman

    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
    • Thread
    • change-regression face-value fixed-income-regression hedging level-regression offsetting-swap-position principal-component-analysis regression-hedge
    • Replies: 0
    • Forum: FRM® Practice Questions
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