R68 练习: 衍生品的收益、风险与发行人和投资者的使用
考纲范围
- describe benefits and risks of derivative instruments
- compare the use of derivatives among issuers and investors
Q1.
The advantages associated with using derivatives do not include:
A. more effective risk management.
B. potential contribution to financial contagion.
C. information discovery.
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答案：B
解析：金融传染（financial contagion）是衍生品的风险/缺点，而非优势。衍生品的优势包括有效的风险管理和信息发现等。
选项 判断 解析 A ✓ 更有效的风险管理是衍生品的优势 B ✗ 金融传染的潜在贡献是衍生品的风险/缺点，不是优势 C ✓ 信息发现（information discovery）是衍生品的优势 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses
Q2.
Some of the major operational advantages associated with derivatives are given below. Which of the following is incorrect?
A. With lower capital requirements, derivative markets have greater liquidity than the spot markets.
B. Unlike securities markets that encourage shorting, selling short is much harder in derivatives.
C. Compared with investing index directly, using futures is a better way as the transactions costs are lower.
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答案：B
解析：衍生品市场中做空比现货市场更容易，而非更难。衍生品市场的一个主要运营优势就是可以方便地做空。
选项 判断 解析 A ✓ 正确。衍生品市场资本要求低，流动性更强 B ✗ 错误。在衍生品市场做空比在证券市场做空更容易，不是更难 C ✓ 正确。使用期货投资指数的交易成本低于直接投资指数 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses
Q3.
The derivative market serves as an important source of information. Which of the following examples regarding information discovery is (are) correct?
I. Prices of derivative instruments such as futures and forwards can be used to predict what the market expects future spot prices to be.
II. Futures market reveals the prices that investors would like to take to avoid the risk.
III. Implied volatility, an essential ingredient to the option-pricing equation, can be used to measure the expected risk of the underlying.
A. I only
B. I and II only
C. I, II, and III
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答案：C
解析：衍生品市场的信息发现功能包括：期货/远期价格可预测未来现货价格（I正确）；期货市场揭示投资者愿意承担的避险价格（II正确）；隐含波动率可衡量标的资产的预期风险（III正确）。
选项 判断 解析 A ✗ 不完整，II和III也正确 B ✗ 不完整，III也正确 C ✓ I、II、III都正确，都是衍生品市场信息发现功能的体现 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses
Q4.
Which of the following statements about derivatives is not accurate?
A. Derivatives are more complex in structure than traditional financial products.
B. Derivatives can eliminate the default risk.
C. Derivatives can increase systemic risk in financial markets.
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答案：B
解析：风险通常只能被转移（transfer）或重新分配（redistribute），不能被消除（eliminate）。碰到”eliminate risk”的选项基本是错误的。
选项 判断 解析 A ✓ 正确。衍生品结构比传统金融产品更复杂 B ✗ 错误。衍生品不能消除违约风险，只能转移或重新分配风险 C ✓ 正确。衍生品可以增加金融市场的系统性风险 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses
Q5.
An investor holds 2000 shares of Vanke common stock. But according to her expectation, the stock price may goes down in the next month. In order to hedge the risk, she can:
A. sell put options on the 2000 shares of Vanke common stock.
B. buy put options on the 2000 shares of Vanke common stock.
C. buy call options on the 2000 shares of Vanke common stock.
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答案：B
解析：投资者持有股票并担心价格下跌，应该买入看跌期权（protective put）来对冲下行风险。买入put赋予她在价格下跌时以行权价卖出的权利。
选项 判断 解析 A ✗ 卖出put无法对冲下跌风险，反而增加了下行敞口 B ✓ 买入put可以在股价下跌时以行权价卖出，对冲下跌风险（protective put策略） C ✗ 买入call是看涨策略，无法对冲持有股票的下跌风险 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses
Q6.
Which of the following statements about investor use of derivatives is most accurate?
A. Investors tend to be more concentrated about hedge accounting treatment than issuers.
B. Investors rather than issuers use derivatives in financing activities to offset market-based interest exposures.
C. Investors are more actively trading in exchange-traded derivative markets than issuers.
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答案：C
解析：投资者比发行人更活跃地在场内衍生品市场交易。套期会计（hedge accounting）是发行人（issuer）更关注的内容，不是投资者。
选项 判断 解析 A ✗ 套期会计是发行人（issuer）更关注的问题，不是投资者 B ✗ 在融资活动中使用衍生品对冲利率风险是发行人的行为 C ✓ 投资者在场内衍生品市场比发行人更活跃 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses
Q7.
Which of the following types of derivatives hedging can be described as fair value hedging?
A. A derivative that is used to absorb variable cash flows of floating rate assets or liabilities.
B. A derivative that is used to offset the fluctuation in fair value of assets or liabilities.
C. A derivative that is designated as offsetting the foreign exchange risk of a foreign equity investment.
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答案：B
解析：公允价值套期（fair value hedge）是用衍生品对冲资产或负债公允价值波动的风险。现金流套期（cash flow hedge）是对冲浮动现金流的风险。
选项 判断 解析 A ✗ 这描述的是现金流套期（cash flow hedge），不是公允价值套期 B ✓ 正确。对冲资产或负债公允价值波动是公允价值套期的定义 C ✗ 这描述的是净投资套期（net investment hedge） 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses
Q8.
Under hedge accounting, an issuer can decrease the volatility of financial statements by using derivatives. Which of the following scenario stands for a cash flow hedge?
A. A floating-rate-bond issuer enters into an interest rate swap to receive floating rate and pay fixed rate.
B. A steel manufacture company sells a futures contract to protect its iron ore inventory from decline in the next 1 year.
C. An US aircraft exporter enters into a currency swap to receive US dollars at a fixed exchange rate.
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答案：A
解析：现金流套期（cash flow hedge）用于吸收浮动利率资产或负债的可变现金流。浮动利率债券发行人通过利率互换（收浮动付固定）将浮动利率转换为固定利率，属于现金流套期。
选项 判断 解析 A ✓ 浮动利率债券发行人通过互换锁定现金流，属于现金流套期 B ✗ 保护库存公允价值不下降属于公允价值套期（fair value hedge） C ✗ 通过货币互换锁定汇率属于净投资套期或公允价值套期 关联：R68: Derivative Benefits, Risks, and Issuer and Investor Uses