AFM Treasury and advanced risk management

اے سی سی اے · اسٹریٹجک پروفیشنل · 7 سوالات

نام: ____________________   تاریخ: ____________

1. Spot is $1.10 per euro. US interest is 5 percent and euro interest is 3 percent. By interest rate parity, the one year forward rate is closest to:

   • A $1.080 per euro
   • B $1.121 per euro
   • C $1.155 per euro
   • D $1.100 per euro

2. A company with floating rate borrowing wishes to convert to fixed payments. It should enter an interest rate swap to:

   • A Pay fixed and receive floating
   • B Pay floating and receive fixed
   • C Buy a put option
   • D Sell a futures contract

3. A company will borrow $10m in six months for six months. It uses three month futures contracts of $1m. The number of contracts is:

   • A 5
   • B 20
   • C 10
   • D 60

4. Using a forward contract to hedge a currency receipt:

   • A Fixes the rate and removes both the downside and the upside
   • B Gives the right but not the obligation to exchange
   • C Gives upside if rates move favourably
   • D Has an up-front premium

5. An increase in the volatility of the underlying asset, other things equal, will:

   • A Increase the value of both call and put options
   • B Decrease the value of a call option
   • C Decrease the value of a put option
   • D Have no effect on option values

6. Basis risk in hedging with futures is the risk that:

   • A The counterparty defaults
   • B The futures price and the spot price do not move together exactly
   • C The contract is too small
   • D Margin payments are not made

7. A company expects to receive $2m in three months. It is concerned the dollar will fall against its home currency. Which hedge could use money market borrowing?

   • A Buy a call on the home currency
   • B Borrow dollars now, convert them to the home currency and repay with the receipt
   • C Buy dollars forward
   • D Sell home currency forward