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Scarle · 2022年09月28日

c选项为啥与利率风险挂钩?

NO.PZ2016031202000001

问题如下:

Which of the following statements about derivatives is correct?

选项:

A.

High own capital is required at initiation of a derivative contract.

B.

Adding derivatives to a portfolio will increase risk.

C.

The value of a derivative is relative to the underlying asset and interest rate.

解释:

C is correct. Derivatives can be used to manage risk. In addition, derivatives have a high degree of leverage, traders need to invest a small amount of capital at initiation.

中文解析:

A错,与直接持有资产相比,使用衍生品进行交易时只需要少量保证金,对资金的需求较低;

B错,衍生品作为对冲工具时,是可以降低组合风险的

C对,衍生品的价值与标的资产和利率有关。

c选项为啥与利率风险挂钩?讲义上只说了和标的资产吧

1 个答案

Lucky_品职助教 · 2022年09月29日

嗨,爱思考的PZer你好:


不论是期货、远期还是期权,可以看出衍生品的value,都是用S0和rf计算出来的,因此衍生品的价值与标的资产和利率有关。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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