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FRM真题练习系列之金融市场&估值与风险建模试题

发表时间:2015-06-03 来源: 告诉小伙伴:
【编者按】FRM真题练习系列之金融市场&估值与风险建模试题,精选了FRM历年真题帮助大家了解FRM试题情况。

1.Dai has company A’s stock and plan to sell it after two months at a specified date in the middle of that month. Dai would like to hedge the price of risk of company A’s stock. To hedge the company A’s stock without incurring basis risk,how could she do?

  A. Short a two-month forward contract on the S&P 500 index

  B. Short a two-month forward contract on company A’s stock

  C. Short a three-month futures contract on company A’s stock

  D. Answers A. and B. are correct.

  Answer: B.

  Basis risk is minimized when the maturity of the hedging instrument coincides with the horizon of the hedge (i.e., two months) and when the hedging instrument is exposed to the same risk factor (i.e., IBM).

2.  A company entered in a one-year forward contract that buying 100 ounces of gold three months ago. When the price was USD 1,000 per ounce. The nine-month forward price of gold is now USD 1,050 per ounce. The continuously-compounded risk-free rate is 4% per year for all maturities and there are no storage costs. The value of the contract is closet to:

  A.  USD 5,000

  B.  USD 4,852

  C.  USD 6,864

  D.  USD 2,826

  Answer: B

The value of the contract is: 

根据2015年5月FRM优秀考生反馈,多做历年FRM真题,在考场能很好的适应FRM题目类型、掌控好FRM做题技巧。学习不是盲目的,也不是死记硬背,学习是有技巧可以遵循的。当我们在学习的过程中找对适合自己的学习技巧后,我们不仅可以节约备考的时间,更可以进一步的提升我们的学习效率。

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