2010年12月ACCA考试考官报告(P4)(3)
Question ThreeThis question was a popular question but performance varied between good and quite poor.
In part (a) this question required candidates to calculate the number of put options needed to hedge an underlying position,by calculating the hedge ratio using N(-d1).Part (a) also asked candidates to explain the numerical answer.Part (a) was either done well with candidates calculating the delta and then applying it correctly;or it was done poorly where candidates went onto calculating the value of a call and a put option for the given variables,and these were not required.Very few candidates explained the numerical answer.Candidates need to be aware that some question parts may have more than a single requirement and all the requirements need to be addressed correctly in order to achieve full marks.外语学习网
Part (b) asked candidates to discuss the position held by each manager with respect to risk and the implications of this.Some reasonable points were made but in many cases these lacked depth or substance.An article appeared in the Student Accountant recently,which looked at why risk should or should not be managed.
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