嚴(yán)同學(xué)
2025-07-11 09:44麻煩老師講解一下B和D
所屬：FRM Part II > Operational Risk and Resiliency 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Michael助教
2025-07-13 11:11
該回答已被題主采納
同學(xué)你好，
B選項，To assume a delta-neutral hedging strategy is risk-free 【這個不對，還有g(shù)amma風(fēng)險】and can be maintained because active re-balancing is unrealistic.
D選項，To assume the forward rates--i.e., that are used to value fixed-income instruments—are log normal （利率有可能為負(fù)數(shù)，所以對數(shù)正態(tài)分布不合理）although interest rates have shifted into a long-term regime of negative territory.
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