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王10 · 2023年11月07日

risk exposure和衍生品是什么关系?

NO.PZ2018062016000147

问题如下:

A fund manager Oliver wanted to figure out the size of steel companies(measured by revenue) which distributed in a specified state in US, and their use of derivatives. The sample size is 16. He intended to use the derivatives to hedge one of three types of risk explosure:interest rate risk, exchange risk and credit risk. To explore the relationship between derivatives usage and size, Oliver can use:

选项:

A.

a parametric test only.

B.

a nonparametric test only.

C.

both parametric and nonparametric tests.

解释:

B is correct. Although the revenue is measured on a ratio scale, scope of risk explosure is measured on only an ordinary scale. Besides, the sample size is small. Oliver thus employed nonparametric statistics to explore the relationship between derivatives usage and size.

题目是目的检验公司size和衍生品的使用关系。

其中提到了三种risk,这个risk和衍生品的关系是啥?


1 个答案

星星_品职助教 · 2023年11月08日

同学你好,

衍生品可以对冲风险。interest rate risk, exchange risk 和credit risk都可以通过合适的衍生品将风险抵消掉。

衍生品如何对冲风险是Derivatives科目的内容,在本题中只需看出这个过程不涉及到任何参数即可。

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