Multiple Choice
How is a hedge ratio commonly determined?
A) By discounting the optimal number of futures to sell per $1 of cash position using the yield involved.
B) By using the ratio of the most recent spot and futures price changes.
C) By running an ordinary least squares regression of changes in spot prices on changes in futures prices.
D) By using the conversion factor.
E) By squaring the correlation between past changes in spot asset prices and futures prices.
Correct Answer:
Verified
Correct Answer:
Verified
Q115: The notational value of derivative contracts for
Q116: What is a difference between a forward
Q117: A credit forward is a forward agreement
Q118: An FI with a negative duration gap
Q119: As a result of the negative role
Q121: A forward contract<br>A)has more credit risk than
Q122: What does a low value of R<sup>2</sup>
Q123: Selective hedging occurs by reducing the interest
Q124: As of 2015, commercial banks held more
Q125: An adjustment for basis risk with a