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梦梦 · 2024年04月17日

为什么是low risk

NO.PZ2023090401000063

问题如下:

Question A newly hired risk analyst at a bank is studying historical cases of financial disasters and their causes to learn how financial risks can arise in practice. The analyst focuses on the example of Barings Bank. Which of the following statements is correct for the analyst to make regarding the collapse of Barings Bank?

选项:

A.

A rogue trader at Barings Bank convinced the bank’s risk controllers that large unauthorized trades were necessary to hedge the bank’s portfolios.

B.

Management of Barings Bank failed to investigate the high level of reported profits that were associated with supposedly low-risk trading strategies.

C.

Traders at Barings Bank traded primarily in OTC foreign currency swaps that allowed the bank to delay cash payments on losing trades.

D.

Management of Barings Bank was not aware of the losses incurred by the bank until clients reported unusual losses on trades that were booked to their accounts.

解释:

Explanation:

B is correct. Nick Leeson, the rogue trader at Barings, was supposed to be running a low-risk, limited return arbitrage business out of his Singapore office, but in actuality he was investing in large speculative positions in Japanese stocks and interest rate futures and options. When Leeson fraudulently declared very substantial reported profits on his positions, management did not investigate the stream of large profits even though it was supposed to be associated with a low-risk strategy.

A is incorrect. The risk controllers’ inquiries to investigate the large stream of profits reported by Nick Leeson were dismissed by Leeson’s superiors, citing the bank’s unique ability to exploit an arbitrage situation. The superiors did not cite hedging as a reason for wanting to maintain the positions.

C and D are incorrect. These scenarios did not occur at Barings Bank.

Section: Foundations of Risk Management

Learning Objective: Analyze the key factors that led to and derive the lessons learned from case studies involving the following risk factors:

- Rogue trading and misleading reporting, including the Barings case.

Reference: Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 9. Learning from Financial Disasters.

老师,尼克里森做的这个投资策略为什么是low risk的?也是会导致巨亏的

1 个答案

李坏_品职助教 · 2024年04月17日

嗨,努力学习的PZer你好:


尼克里森本应该执行真正的Low-risk策略,也就是低风险的交易策略。但是尼克里森后来逐渐的采取赌博策略,却用做假账等方法伪装成Low-risk。


B选项后面说的是“supposedly low-risk trading strategies.”,这句话意思是“本来应该是低风险的策略”,潜台词就是尼克里森把本该是低风险的策略搞成了赌博策略。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

梦梦 · 2024年04月18日

懂了,谢谢老师

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NO.PZ2023090401000063 问题如下 Question A newly hirerisk analyst a bank is stuing historiccases of financisasters antheir causes to learn how financirisks carise in practice. The analyst focuses on the example of Barings Bank. Whiof the following statements is correfor the analyst to make regarng the collapse of Barings Bank? A rogue trar Barings Bank convincethe bank’s risk controllers thlarge unauthorizetras were necessary to hee the bank’s portfolios. B.Management of Barings Bank faileto investigate the high level of reporteprofits thwere associatewith supposey low-risk trang strategies. C.Trars Barings Bank traprimarily in OTC foreign currenswaps thallowethe bank to lcash payments on losing tras. Management of Barings Bank wnot aware of the losses incurrethe bank until clients reporteunusulosses on tras thwere booketo their accounts. Explanation:B is correct. NiLeeson, the rogue trar Barings, wsupposeto running a low-risk, limitereturn arbitrage business out of his Singapore office, but in actuality he winvesting in large speculative positions in Japanese stocks aninterest rate futures anoptions. When Leeson fraulently clarevery substantireporteprofits on his positions, management not investigate the streof large profits even though it wsupposeto associatewith a low-risk strategy. A is incorrect. The risk controllers’ inquiries to investigate the large streof profits reporteNiLeeson were smisseLeeson’s superiors, citing the bank’s unique ability to exploit arbitrage situation. The superiors not cite heing a reason for wanting to maintain the positions. C anare incorrect. These scenarios not occur Barings Bank. Section: Fountions of Risk Management Learning Objective: Analyze the key factors thleto anrive the lessons learnefrom case stues involving the following risk factors: - Rogue trang anmisleang reporting, inclung the Barings case. Reference: GlobAssociation of Risk Professionals. Fountions of Risk Management. New York, NY: Pearson, 2022. Chapter 9. Learning from Financisasters.

2024-04-14 18:17 1 · 回答