8006 試験問題を無料オンラインアクセス

The local coefficient of risk aversion for a utility function u(x) where x is wealth is expressed as:
A)

B)

C)

D)

• A.Option C
• B.Option D
• C.Option B
• D.Option A

A fund manager buys a gold futures contract at $1000 per troy ounce, each contract being worth 100 ounces of gold. Initial margin is $5,000 per contract, and the exchange requires a maintenance margin to be maintained at $4,000 per contract. What is the most prices can fall before the fund manager faces a margin call?

• A.$10 per ounce
• B.$20 per ounce
• C.$1,000 per ounce
• D.$0 per ounce

Backwardation can happen in markets where

• A.convenience yields are positive
• B.convenience yields are greater than the total interest, storage and other carrying costs
• C.convenience yields are zero
• D.convenience yield is less than the total interest and carrying costs

Which of the following is NOT a historical event which serves as an example of a short squeeze that happened in the markets?

• A.The great silver squeeze, 1979-80
• B.The wheat squeeze, 1866
• C.The CDO squeeze, 2008
• D.The great Chicago fire, 1872

Which of the following statements are true in respect of a fixed income portfolio:
I. A hedge based on portfolio duration is valid only for small changes in interest rates and needs periodic readjusting II. A duration based portfolio hedge can be improved by making a convexity adjustment III. A long position in bonds benefits from the resulting negative convexity IV. A duration based hedge makes the implicit assumption that only parallel shifts in the yield curve are possible

• A.II and IV
• B.I and IV
• C.I, II and IV
• D.I and II