75. Which of the following trade(s) contain basis risk?
i. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Nov 07 NYMEX WTI Crude Oil contracts
ii. Long 1,000 lots Nov 07 ICE Brent Oil contracts and long 2,000 lots Nov 07 ICE Brent Oil at-the-money put
iii. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 ICE Brent Oil contracts
iv. Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 NYMEX WTI Crude Oil contracts
a. ii and iv only
b. i and iii only
c. i, iii and iv only
d. iii and iv only

参考答案是 d，我觉得选c。我的理由是不同的交易所交易的contracts。

85. Consider a position in a 5-year receive-fixed swap that makes annual payments on a USD 100 million notional. The floating leg has just been reset. The term structure is flat at 5%, the Macaulay duration of a 5-year par bond is 4.5 years, and the annual volatility of yield changes is 100 bps. Your best estimate of the swap’s VaR with 95% confidence over the next month is:
a. USD 1.6 million
b. USD 2.0 million
c. USD 5.5 million
d. USD 7.1 million

我选b，参考答案选a。

89. In normal market conditions, which of the following indicators would provide the best assessment of a trader’s ability to trade out of a position?
a. Daily trading volume
b. Total market capital
c. Number of shareholders
d. Size of the equity derivative market
参考答案是 a，我觉得选d。谢谢指教