金融风险管理师FRM-考试+Answer-(1).docx

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1、1.EXAMPLE12.1:FRMEXAM2000—QUESTION78Whatfeatureofcashandfuturespricestendstomakehedgingpossible?a.Theyalwaysmovetogetherinthesamedirectionandbythesameamount.b.Theymoveinoppositedirectionsbythesameamount.c.Theytendtomovetogether,generallyinthesamedirectionandbythesameamount.d.T

2、heymoveinthesamedirectionbydifferentamounts.----------------------------------------------------------------------------------ANSWERExample12.1:FRMExam2000—Question78c)Hedgingismadepossiblebythefactthatcashandfuturespricesusuallymoveinthesamedirectionandbythesameamount.-------

3、---------------------------------------------------------------------------2.EXAMPLE12.2:FRMEXAM2000—QUESTION79Underwhichscenarioisbasisrisklikelytoexist?a.Ahedge(whichwasinitiallymatchedtothematurityoftheunderlying)isliftedbeforeexpiration.b.Thecorrelationoftheunderlyingandth

4、ehedgevehicleislessthanoneandtheirvolatilitiesareunequal.c.Theunderlyinginstrumentandthehedgevehiclearedissimilar.d.Alloftheabovearecorrect.----------------------------------------------------------------------------------ANSWERExample12.2:FRMExam2000—Question79d)Basisriskoccu

5、rsifmovementsinthevalueofthecashandhedgedpositionsdonotoffseteachotherperfectly.Thiscanhappeniftheinstrumentsaredissimilarorifthecorrelationisnotunity.Evenwithsimilarinstruments,ifthehedgeisliftedbeforethematurityoftheunderlying,thereissomebasisrisk.---------------------------

6、-------------------------------------------------------3.EXAMPLE14.1:FRMEXAM1999—QUESTION64UnderwhatcircumstancesisitappropriatetoscaleupaVARestimatefromashorterholdingperiodtoalongerholdingperiodusingthesquarerootoftime?a.Itisneverappropriate.b.Itisalwaysappropriate.c.Wheneit

7、hermeanreversionortrendarepresentinthehistoricaldataseries.d.Whenneithermeanreversionnortrendarepresentinthehistoricaldataseries.----------------------------------------------------------------------------------ANSWERExample14.1:FRMExam1999—Question64d)Thepresenceofeithermeanr

8、eversionortrend(ortimevariationinrisk)impliesadifferentdistri