注册金融分析师-衍生产品投资(五).doc

衍生产品投资（五）
单项选择
1、 Which of the following is an example of an arbitrage opportunity?
A portfolio of two securities tha L1BOR=%
The U. S. bank pays:
US $ and the English bank pays £ .
US $6m and the English bank pays £ .
£ and the English bank pays US $.
7、 The main risk faced by an individual who enters into a forward contract to buy the S&P 500 Index is that
the market may rise.
the market may fall.
C . market volatility may rise.
8、 Which of the following statements most accurately describes the difference between LIBOR and Euribor?
LIBOR is a lending rate, while Euribor is a borrowing rate.
B . LIBOR is a representative borrowing rate on U. S . dollars^ while Euribor is a representative borrowing rate on euros.
LIBOR is a global risk-free rate, while Euribor is a European risk-free rate.
9、 Financial derivatives also provide a powerful tool for limiting risks that individuals and firms face in the ordinary conduct of their business. This is an example of:
trading efficiency.
speculation.
C . risk management.
10、 Which of the following statements regarding a futures trade of a deliverable contract is FALSE?
The long is obligated to purchase the asset.
The short is obligated to deliver the asset.
Equilibrium futures price is known only at the end of the trading day.
11> Which statement about equity forward contracts is least likely accurate?
Investors can use equity forward contracts to speculate on stock-price increases ・
Dividend payments are usually included in equity forward contracts.
C , Equity forward contracts may require asset delivery or cash settlement.
12、 Which of the following statements about put and call options is FALSE?
The price of the option is less volatile than the price of the underlying stock ・
Option prices are generally higher the longer the time till the option expires ・
For put options, the higher the strike price relative to the stock 1s underlying price, the more the put is worth