来源:高顿网校 发布时间:2013-11-12 09:59 责编:admin
  1. 金融市场与产品练习题第54题这类delta hedge问题解题思路是什么?
  Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades at USD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer should
  A.    sell 2,602 shares
  B.    sell 1,493 shares
  C.    purchase 1,493 shares
  D.    purchase 2,602 shares
  Answer: D
  答疑;其实这种题目的本质是使原有头寸的线性风险能够被对冲头寸的收益所覆盖,在这道题中就相当于由股价变动引发的期权的价格变化(由delta反映)能够由购买或者卖出股票获得的收益所覆盖。可以参考handbook P322的公式进行理解,原理是一样的。这题的关键是200 call option contracts,而每个合约里面有100个期权,所以总共有200*100 = 20000个期权。

  2. EVT中那个字母说明尾部形状,大于1肥尾,小于0细尾,而数量分析习题课第52题第二个说法,说这个字母为负的时候说明尾部比正态分布尾部消失的快,尾部细不就是消失得快吗?
  Which of the following statements about Extreme Value Theory (EVT) and its application to value at risk are true?
  I.     EVT extends the Central Limit Theorem to the distribution of the tails of independent, identically distributed random variables drawn from an unknown distribution.
  II.    For empirical stock market data, the shape parameter in EVT is negative implying tails that disappear more rapidly than a normal distribution.
  III.   EVT can help avoid a shortcoming of the historical simulation method which may have difficulty calculating VaR reliably due to a lack of data in the tails.
  IV.  For empirical stock market data, standard value at risk estimates at the 95% confidence level are exceeded more often than 5% of the time and would therefore benefit from the use of extreme value theory.
  A.    I and III
  B.    II and IV
  C.    I, III and IV
  D.    III and IV
  Answer: A
  I. correct. Whereas the Central Limit Theorem concerns the distribution of the average of independent, identically distributed variables drawn from an unknown distribution, EVT deals with the distribution of the tails.
  II. incorrect. The shape parameter in EVT for empirical stock market data is typically between 0.2 and 0.4, implying that the tails disappear more slowly than a normal distribution.
  III. correct. Due to its reliance on historical data which may lack sufficient tail data (i.e., extreme events), reliably calculating VaR with the historical simulation method can be difficult; EVT can help avoid this shortcoming.
  IV. incorrect. For empirical stock market data, standard value at risk estimates at the     95% confidence level tend to be fairly accurate, and generally only becomes     inaccurate at the 99.5% confidence level and beyond.
  答疑:Shape parameter determines the speed at which the tail disappears. The normal distribution corresponds to shape parameter equals zero while typical financial data have a positive shape parameter which implies fat tails. (Handbook P364)。这道题的问题出在for empirical stock market data, 应该是肥尾的现象,对应正的shape parameter。而后半句没有问题。

  4. 2010 FRM EXAMINATION PRACTICE EXAM 第5题怎么做?

  Sarah is a risk manager responsible for the fixed income portfolio of a large insurance company. The portfolio contains a 30-year zero coupon bond issued by the US Treasury (STRIPS) with a 5% yield. What is the bond';s DV01?
  A.0.0161
  B.0.0665
  C.0.0692
  D.0.0694
  Answer: B
  Explanation: The DV0I of a zero-coupon is
  DVO1 = 30/100 (1 + y/2)2T+1100 (1 + 5%/2)61 = 0.0665
  答疑:此题答案有误,从题目中给出的信息应该计算的是零息债券的DV01,而解释中采用的是付息债券的计算方法。按题目考查的应该是零息债券麦考林久期的特性,麦考林久期、修正久期以及DV01之间的转换,建议以把握这些内容为主。  
    
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