FRM一級風(fēng)險管理基礎(chǔ)重點匯總-德國金屬公司

風(fēng)險管理基礎(chǔ)作為FRM一級考試中占比20%的部分，也是我們備考的重點，這一部分的特點就是多且雜，建議大家在理解的基礎(chǔ)上對定義進(jìn)行記憶，可以結(jié)合一些重點例題，加深對知識點的理解。

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知識點：德國金屬公司 

Metallgesellschaft

? MGRM wrote (sold) long-term forward contracts to sell gas/oil

? Hedge with long positions in short-term futures (stack-and-roll hedge)

? As spot oil prices dropped, oil futures curve shifted to contango (curve risk)

? In 1993, creditors rescued with a $1.9 billion package

?？键c：

1. 掌握各個案例之間的相同點和不同點，德國金屬公司是沒有內(nèi)部欺詐的。

2. 滾動對沖是進(jìn)入一個短期合約，當(dāng)合約到期時再進(jìn)入一個新的短期合約，以此實現(xiàn)長期對沖的目的。

3. 升水是期貨價格高于現(xiàn)貨價格，會導(dǎo)致滾動對沖的成本增加。

例題：

Metallgesellschaft Refining and Marketing offered customers long-term contracts with fixed prices for petroleum contracts. Their strategy to hedge this exposure:

A. Did not account for funding risk created by a mismatch between the timing of the hedge cash flows and the contract cash flows.

B. Failed because of improper internal controls.

C. Was based on fraudulent reporting.

D. Suffered from poor diversification.

【正確答案】A

【答案解析】

Metallgesellschaft implemented a stack-and-roll hedge strategy, which uses short-term futures contracts to hedge long-term risk exposure. The stack-and-roll hedge strategy proved ineffective due to interim funding cash outflows created by margin calls, a shift in the market from backwardation to contango, and other factors. No offsetting interim cash inflows were available on their long-term customer contracts, creating a liquidity crisis that was exacerbated by their size of their futures positions in relation to the liquidity of the market. Central themes were not diversification, fraud, or operational controls.

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