2010年5月FRM1级第三部分金融市场与产品模拟练习题（2010年3月21日上海王迪共50题）.pdf

the stock and the put option. d. Long position in both the put option and the risk-free bond, and short position in the stock and the call option. 5. Nicholas is responsible for the asset and liability management of JerseyBeech Bank, a small retail bank with USD 300 million in interest-bearing assets that yield approximately 70 bp above LIBOR. The duration of the interest-bearing assets is 2.5 years. Due to the recent financial turmoil, the bank seeks to reduce potential negative impacts on earnings from adverse moves in interest rates. Thus, the bank decides to hedge 50% of its interest rate exposures using Treasury bond futures. Nicholas decides to use September T-bond futures that trade at 106-22 and will mature in three months; the cheapest-to-deliver bond associated with this contract is a 7-year, 10% coupon, with a current duration of 5 years. At the maturity of the futures contract, the duration of the banks interest rate sensitive assets will not change; however, the duration of the cheapest-to-deliver bond will fall to 4.9. How many contracts should Nicholas buy or sell? a. Buy 703 contracts. b. Sell 703 contracts. c. Buy 717 contracts. d. Sell 717 contracts. 6. One of the traders whose risk you monitor put on a carry trade where he borrows in yen and invests in some emerging market bonds whose performance is independent of yen. Which of the following risks should you not worry about? a. Unexpected devaluation of the yen. b. A currency crisis in one of the emerging markets the trader invests in. c. Unexpected downgrading of the sovereign rating of a country in which the trader invests. d. Possible contagion to emerging markets of a credit crisis in a major country. 7. The current spot price of cotton is USD 0.7409 per pound. The cost of storing and insuring cotton is