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临江仙 · 2020年08月23日

问一道题:NO.PZ2020011901000083

问题如下:

Which of the following statments is incorrect?

选项:

A.

John Rusnak at Allied Irish Bank lost USD 700 million by trading in foreign currencies and managed to conceal his losses by creating fictitious option trades.

B.

Kweku Adoboli at UBS lost about USD 2.3 billion by taking unauthorized speculative positions in stock market indices.

C.

Jérôme Kerviel at Société Générale lost about USD 7 billion by speculating on equity indices while giving the appearance of being an arbitrageur.

D.

Nick Leeson at Barings Bank lost about USD 1 billion by disguising a borrowing as a futures contract and hide the size of its borrowings from investors and lenders.

解释:

The statement in D is incorrect.

Nick Leeson at Barings Bank lost about USD 1 billion by making unauthorized large bets on the future direction of the Nikkei index and managed to hide his losses from his superiors for some time.


nick lesson的那个,我记得是搞了个option的Model,只要日经225指数是在那个小范围内波动,就可以赚到期权费,但如果大幅波动,就巨大亏损,应该是跟futures无关吧(虽然跟方向相关)

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小刘_品职助教 · 2020年08月23日

同学你好,

你的记忆出了点偏差,nick lesson除了买了期权之外,页在新加坡期货交易所买了55000手日经期货多头头寸,所以题目说得没有问题。