2020年CFA考试《CFA三级》考试共题，分为。小编为您整理Risk Management Applications of Derivatives5道练习题，附答案解析，供您备考练习。

1、【单选题】

A.buying a call.

B.selling a call.

C.buying a put.

正确答案:A

答案解析:A is correct. A protective put combines a long stock position with a long put. The put effectively 

2、The duration of the swap in Watanabe's first proposal to Kondo is closest to:【单选题】

A.–2.00.

B.–2.75.

C.–1.75.

正确答案:A

答案解析:A pay-fixed (receive-floating) position in an interest rate swap is similar to issuing a fixed-rate bond and buying a floating-rate bond with the proceeds. The duration of the fixed-rate bond is approximately 75% of the maturity, and the swap is short this duration. The duration of the floating-rate bond is approximately half its repricing frequency, and the swap is long this duration. Therefore, the duration of the three-year swap with semi-annual payments is (0.5 × 0.5) – (0.75 × 3) = –2.00.

3、【单选题】

A.Straddle.

B.Bull spread using puts.

C.Reverse butterfly spread using calls and puts.

正确答案:A

答案解析:Both calls and puts increase in value if volatility increases. A straddle is composed of a long call and put with the same strike 

4、The expected volatility of the S&P 500, relative to market expectations, is least likely to be a factor in the decision to implement:【单选题】

A.Strategy A.

B.Strategy C.

C.Strategy B.

正确答案:B

答案解析:Strategy C is a collar, which is a directional strategy; that is, its performance is dependent on the direction of the movement of the underlying (in this instance, the S&P 500). The performance of Strategy A (butterfly spread) and Strategy B (straddle) are based on the expected volatility (relative to the rest of the market) of the S&P 500.

5、【单选题】

A.43.

B.46.

C.49.

正确答案:A

答案解析:Demonstrate the use of futures to adjust the allocation of a portfolio across equity sectors and