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FRM一级每日一题【风险管理基础14-风险案例：Metallgesellschaft（1）】

来源：高顿网校 2015-03-04

　　习题：

　　Exercise:

　　A stack-and-roll hedge as described in the Metallgesellschaft case is best described as:

　　A. Buying futures contracts of different expirations and allowing them to expire in sequence.

　　B. Buying futures contracts of different expirations and closing out the position shortly before

　　expiration.

　　C. Using short-term futures to hedge a long-term risk exposure by replacing them with longer-

　　term contracts shortly before they expire.

　　D. Using short-term futures contracts with a larger notional value than the long-term risk they are

　　meant to hedge.

　　解析：

　　Answer: C

　　Explanation: A stack is a bundle of futures contracts with the same expiration. Over time, a firm may acquire stacks with various expiry dates. To hedge a long-term risk exposure, a firm would close out each stack as it approaches expiry and enter into a contract with a more distant delivery, known as a roll. This strategy is called a stack-and-roll hedge and is designed to hedge long-term risk exposures with short term contracts.

　　知识点：

　　Financial Disasters - Metallgesellschaft

　　Metallgesellschaft: short-term futures contracts used to hedge long-term exposure in the petroleum markets; Stack-and-roll hedging strategy (The firm buy a bundle of futures contracts with the same expiry date, known as a stack. Just prior to delivery, the firm liquidates the stack and buys another stack of contracts with longer expirations, known as a roll); Marking to market on futures caused huge cash flow problems.
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