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JoyLi · 2022年06月20日

原版书的课后问答题会在考试中考吗

NO.PZ2020011303000023

问题如下:

Explain how a dollar roll works and why it is different from a repo as a way of using securities that are owned to borrow money.

解释:

A dollar roll involves raising funds by selling a pool in one month and buying a similar pool back the following month. Properties such as coupon, principal, and maturity are specified but the party with a short position chooses the actual pool that will be delivered. This means that the pool that is received during the second month may be different from the one sold during the first month. This is one difference between a dollar roll and a repo. The other difference is that interest does not have to be added to the price paid in the second month because the trader who sells and then buys loses one month of MBS income,while the trader on the other side gains one month of MBS income.

原版书的课后问答题会在考试中考吗


1 个答案

李坏_品职助教 · 2022年06月20日

嗨,爱思考的PZer你好:


考试中是不会直接考原版书课后问答题这种题型的,因为FRM都是单选题。但是原版书习题涉及的考点可能会以选择题的形式考察。

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