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Derivatives exam
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Created: by Keltamustat Attachments:0

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Derivatives exam

  #1 (permalink)
Trading Apprentice
Helsinki
 
Futures Experience: Beginner
Platform: NinjaTrader
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Posts: 9 since Nov 2018
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Derivatives exam

Hi!

I would appreciate your help with these questions. True/False

1. The cost stemming from hedging against foreign exchange risk are lower when currency forwards instead of currency options are used for this purpose.

2. A call option to buy Singapore dollars at strike price of 10 South African rands is equal to a put option to sell 10 South African rands at strike price of 0.1 Singapore dollars, given that the options have the same maturity.

Thank you!

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  #2 (permalink)
Trading Apprentice
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Posts: 9 since Nov 2018
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Still waiting for help from you guys

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  #3 (permalink)
Market Wizard
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LOL


False and False unless there are other factors that you can share. Seems like an obvious troll.

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  #4 (permalink)
Trading Apprentice
Helsinki
 
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Posts: 9 since Nov 2018
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Thank you!

Actually, I'm not trolling. There are no other factors.

Howabout these? True or False?

1. A three-month futures price must always be higher than the current spot price of the underlying asset.

2. Based on the yield spreads, the corporate bond market seems to underestimate default probabilities, since the so-called risk-neutral default probabilities are generally much lower that the real world default probabilities.

3. Back-testing indicates how well Value-at-Risk (VaR) estimates have performed in the past(this is True). For example, if the back testing shows that 10-day 95% VaR has been exceeded in 25 days during the last two years, the VaR estimate can be considered relatively reliable.

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  #5 (permalink)
Trading Apprentice
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Keltamustat View Post
Thank you!

Actually, I'm not trolling. There are no other factors.

Howabout these? True or False?

1. A three-month futures price must always be higher than the current spot price of the underlying asset.

2. Based on the yield spreads, the corporate bond market seems to underestimate default probabilities, since the so-called risk-neutral default probabilities are generally much lower that the real world default probabilities.

3. Back-testing indicates how well Value-at-Risk (VaR) estimates have performed in the past(this is True). For example, if the back testing shows that 10-day 95% VaR has been exceeded in 25 days during the last two years, the VaR estimate can be considered relatively reliable.

Would be amazing if someone has an opinion
ATM I think

1) True
2) False
3) I'm not sure what is the right formula to use

Thank you

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  #6 (permalink)
Super Moderator
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xplorer's Avatar
 
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Keltamustat View Post
Would be amazing if someone has an opinion
ATM I think

1) True
2) False
3) I'm not sure what is the right formula to use

Thank you

I don't understand what you are trying to achieve with having others attempting to answer the questions to your own exam.

If you provided some more background perhaps it would make it easy for others to try to help.

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  #7 (permalink)
Trading Apprentice
Helsinki
 
Futures Experience: Beginner
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Posts: 9 since Nov 2018
Thanks: 3 given, 3 received


xplorer View Post
I don't understand what you are trying to achieve with having others attempting to answer the questions to your own exam.

If you provided some more background perhaps it would make it easy for others to try to help.

I'm sorry but I dont understand you. I'm just asking help. Xplorer, nice to have answers like that. Have a nice weekend sir!


Last edited by Keltamustat; December 1st, 2018 at 07:43 AM.
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