-
FRM一级
包含FRM一级传统在线课程、通关课程及试题相关提问答疑;
专场人数:3364提问数量:62753
An analyst at Bergman International Bank has been asked to explain the calculation of VaR for linear derivatives to the newly hired junior analysts. Which of the following statements best describes the calculation of VaR for a linear derivative on the S&P 500 Index? A、For a futures contract, multiply the VaR of the S&P 500 Index by a sensitivity factor reflecting the percent change in the value of the futures contract for a 1% change in the index value. 答案:A 解析:calculate the VaR for a linear derivative: VaRp = ∆ * VaRf The delta in the formula is a sensitivity factor that reflects the change in value of the derivatives contract for a given change in the value of the underlying. “The delta adjustment to the VaR of the underlying asset accounts for the fact that the relative changes in value between the underlying and the derivatives may not be one for one but nevertheless然而 are linear in nature. Note that options are non-linear.“,老师请问引号内这段话要怎么理解
查看试题 已回答John Holt is managing a fixed-income portfolio worth USD 10 million. The duration of the portfolio today is 5.9 years and six months六个月之后 it is expected to be 6.2 years. The 6-month Treasury bond futures contract is trading at USD 98.47. The bond that is expected to be cheapest-to-deliver has a duration of 4.0 years today and an expected duration of 4.8 years at the maturity of the futures contract. How many futures contracts should John short to hedge against changes in interest rates over the next six months? Each futures contract is for the delivery of USD 100,000 face value of bonds. A、157 contracts B、150 contracts C、131 contracts D、125 contracts 答案:C 老师,请问这题为什么要用未来的久期
查看试题 已回答老师,图片中的公式不是说利率上升,期货价格上升吗 但是下面这个题目的答案是利率上升使得期货价格下降 A German housing corporation needs to hedge against rising interest rates. It has chosen to use futures on 10-year German government bonds. Which position in the futures should the corporation take, and why? A、Take a long position in the futures because rising interest rates lead to rising futures prices. B、Take a short position in the futures because rising interest rates lead to rising futures prices. C、Take a short position in the futures because rising interest rates lead to declining futures prices. D、Take a long position in the futures because rising interest rates lead to declining futures prices. 答案:C 解析: Government bond futures decline in value when interest rates rise, so the housing corporation should short futures to hedge against rising interest rates.
It is June 2 and a fund manager with USD 10 million invested in government bonds is concerned that interest rates will be highly volatile over the next three months. The manager decides to use the September Treasury bond futures contract to hedge the value of the portfolio. The current futures price is USD 95.0625. Each contract is for the delivery of USD 100,000 face value of bonds. The duration of the manager’s bond portfolio in three months will be 7.8years. The cheapest-to-deliver bond in the Treasury bond futures contract is expected to have a duration of 8.4 years at maturity of the contract. At the maturity of the Treasury bond futures contract, the duration of the underlying benchmark Treasury bond is nine years. What position should the fund manager undertake to mitigate his interest rate risk exposure? A、Short 94 contracts B、Short 96 contracts C、Short 98 contracts D、Short 105 contracts 答案:C 老师,请问这题标的资产的久期为什么用7.8年,而不用9年呢?
查看试题 已回答精品问答
- 为什么这里横纵坐标相加不等于1
- PCA解释因子的计算是什么公式?P C有什么性质可以详细解释一下吗?
- 这题没懂,涉及的知识点能给详细、系统的讲解一下吗
- 可以详细解释一下多德弗兰克法案是什么内容吗?具体是在哪一章什么知识点涉及的呢?
- 老师 第52题不太懂lending rate 和borrowing rate 以及A和B两个选项
- 我怎么感觉这题不太对呢。特别是C/D两个,都是需要股价上去才可能有利,所以逻辑是一样啊,都是做高业绩,但是C反正都遥遥无期,动力没那么足吧。B现在是平值,就差那一把火就能盈利了所以应该最要努力把业绩做起来吧?A也是,你既然都深度实值了,赶紧卖了得了,还做什么风险管理。这题我都不懂
- Bsm模型中,N(d2)代表行权概率,N(d1)代表什么概率?
- 直接看选项吧,B选项错在哪里?
