Risk Management Quiz Question

The futures price (with expiration date in 6 months) of an equity index is 1280. The futures contract has a multiplier of 250 (the contract size). A portfolio manager manages a long equity portfolio with a current market value of $20 million. The portfolio has a beta of 1 relative to the equity index. How many units of the futures contract should the portfolio manager buy or sell to make her portfolio risk-free for the next 6 months?

A) Buy 62.5 futures contracts
B) Sell 62.5 futures contracts
C) Buy 75 futures contracts
D) Sell 75 futures contracts

Reveal the Answer

The answer is B) Sell 62.5 futures contacts

Risk Management Professional Certificate

Develop a comprehensive survey of the practice of Risk Management. The major types of risk are identified, risk management tools and techniques are reviewed and financial regulation is covered. Delegates will work through the annual risk report of a publicly traded financial institution. A number of case studies are analyzed to illustrate key principles of risk measurement and management.

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Risk Management Professional Certificate

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