1. 金融市場(chǎng)與產(chǎn)品練習(xí)題第54題這類delta hedge問(wèn)題解題思路是什么?
　　Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades at USD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer should
　　A.    sell 2,602 shares
　　B.    sell 1,493 shares
　　C.    purchase 1,493 shares
　　D.    purchase 2,602 shares
　　Answer: D
　　答疑；其實(shí)這種題目的本質(zhì)是使原有頭寸的線性風(fēng)險(xiǎn)能夠被對(duì)沖頭寸的收益所覆蓋，在這道題中就相當(dāng)于由股價(jià)變動(dòng)引發(fā)的期權(quán)的價(jià)格變化（由delta反映）能夠由購(gòu)買或者賣出股票獲得的收益所覆蓋。可以參考handbook P322的公式進(jìn)行理解，原理是一樣的。這題的關(guān)鍵是200 call option contracts，而每個(gè)合約里面有100個(gè)期權(quán)，所以總共有200*100 = 20000個(gè)期權(quán)。
　　2. EVT中那個(gè)字母說(shuō)明尾部形狀，大于1肥尾，小于0細(xì)尾，而數(shù)量分析習(xí)題課第52題第二個(gè)說(shuō)法，說(shuō)這個(gè)字母為負(fù)的時(shí)候說(shuō)明尾部比正態(tài)分布尾部消失的快，尾部細(xì)不就是消失得快嗎？
　　Which of the following statements about Extreme Value Theory (EVT) and its application to value at risk are true?
　　I.     EVT extends the Central Limit Theorem to the distribution of the tails of independent, identically distributed random variables drawn from an unknown distribution.
　　II.    For empirical stock market data, the shape parameter in EVT is negative implying tails that disappear more rapidly than a normal distribution.
　　III.   EVT can help avoid a shortcoming of the historical simulation method which may have difficulty calculating VaR reliably due to a lack of data in the tails.
　　IV.  For empirical stock market data, standard value at risk estimates at the 95% confidence level are exceeded more often than 5% of the time and would therefore benefit from the use of extreme value theory.
　　A.    I and III
　　B.    II and IV
　　C.    I, III and IV
　　D.    III and IV
　　Answer: A
　　I. correct. Whereas the Central Limit Theorem concerns the distribution of the average of independent, identically distributed variables drawn from an unknown distribution, EVT deals with the distribution of the tails.
　　II. incorrect. The shape parameter in EVT for empirical stock market data is typically between 0.2 and 0.4, implying that the tails disappear more slowly than a normal distribution.
　　III. correct. Due to its reliance on historical data which may lack sufficient tail data (i.e., extreme events), reliably calculating VaR with the historical simulation method can be difficult; EVT can help avoid this shortcoming.
　　IV． incorrect. For empirical stock market data, standard value at risk estimates at the     95% confidence level tend to be fairly accurate, and generally only becomes     inaccurate at the 99.5% confidence level and beyond.
　　答疑：Shape parameter determines the speed at which the tail disappears. The normal distribution corresponds to shape parameter equals zero while typical financial data have a positive shape parameter which implies fat tails. (Handbook P364)。這道題的問(wèn)題出在for empirical stock market data, 應(yīng)該是肥尾的現(xiàn)象，對(duì)應(yīng)正的shape parameter。而后半句沒(méi)有問(wèn)題。
　　4. 2010 FRM EXAMINATION PRACTICE EXAM 第5題怎么做？
　　Sarah is a risk manager responsible for the fixed income portfolio of a large insurance company. The portfolio contains a 30-year zero coupon bond issued by the US Treasury (STRIPS) with a 5% yield. What is the bond';s DV01?
　　A.0.0161
　　B.0.0665
　　C.0.0692
　　D.0.0694
　　Answer: B
　　Explanation: The DV0I of a zero-coupon is
　　DVO1 = 30/100 (1 + y/2)2T+1100 (1 + 5%/2)61 = 0.0665
　　答疑：此題答案有誤，從題目中給出的信息應(yīng)該計(jì)算的是零息債券的DV01，而解釋中采用的是付息債券的計(jì)算方法。按題目考查的應(yīng)該是零息債券麥考林久期的特性，麥考林久期、修正久期以及DV01之間的轉(zhuǎn)換，建議以把握這些內(nèi)容為主?！　?div style="text-align: center;">