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75. Which of the following trade(s) contain basis risk?
i. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Nov 07 NYMEX WTI Crude Oil contracts
ii. Long 1,000 lots Nov 07 ICE Brent Oil contracts and long 2,000 lots Nov 07 ICE Brent Oil at-the-money put
iii. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 ICE Brent Oil contracts
iv. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 NYMEX WTI Crude Oil contracts
a. ii and iv only
b. i and iii only
c. i, iii and iv only
d. iii and iv only

参考答案是 d，我觉得选c。我的理由是不同的交易所交易的contracts。

85. Consider a position in a 5-year receive-fixed swap that makes annual payments on a USD 100 million notional. The floating leg has just been reset. The term structure is flat at 5%, the Macaulay duration of a 5-year par bond is 4.5 years, and the annual volatility of yield changes is 100 bps. Your best estimate of the swap’s VaR with 95% confidence over the next month is:
a. USD 1.6 million
b. USD 2.0 million
c. USD 5.5 million
d. USD 7.1 million

我选b，参考答案选a。

89. In normal market conditions, which of the following indicators would provide the best assessment of a trader’s ability to trade out of a position?
a. Daily trading volume
b. Total market capital
c. Number of shareholders
d. Size of the equity derivative market
参考答案是 a，我觉得选d。谢谢指教

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关键词：FRM Shareholders shareholder Assessment Conditions following contain trade NYMEX

是C没错，handbook上的答案就是C

[biggrin][biggrin][biggrin]

第二题如果浮动久期算0的话，就是B，如果浮动久期算1的话，就是A。。。
还听说过浮动久期算半年的，那也接近B-_-

4# ez2die

是应该按 1 算，刚调整过 floating rate，并且是 年pay.
谢谢提醒

4# ez2die

谢谢提醒，我认为是floating leg 对应 macalay duration是1。答案 是a

89当然选A啦，日交易量越大流动性越好。基于这种标的的衍生品的市场规模跟它本身没什么直接关系吧

d. Size of the equity derivative market

翻译成 资产对市场的倒数 确实有点牵强。

倒数……晕，lz意思是导数是吧，那个是衍生品市场，不是什么导数

85题A怎么出来的啊？能不能说得具体点