問題五：

Example 9- 14 FRM Exam 1998- Question 27

Metallgesellschaft AG’s oi1 hedging program used a stack- and- roll strategy that eventually led to large losses. What can be said about this strategy ? The strategy involved

a ) Buying short-dated futures or（中文本誤植為of） forward contracts to hedge long- term exposure, with the expectation that the short- term oil price would not decline

b ) Buying short-dated futures or forward contracts to hedge long- term exposure , with the expectation that the short-term oil price would decline

c ) Selling short-dated futures or forward contracts to hedge long-term exposure, with the expectation that the short- term oil price would not decline

d ) Selling short- dated futures or forward contracts to hedge long- term exposure, with the expectation that the short-term oil price would decline

答覆：

 Mettallgesellschaft在美國的子公司MGRM使用推疊輾轉滾動（stack-and-roll）策略，導致大額損失。此策略為何？該策略涉及

（a）買短天期期貨或遠期契約，以避險長期風險，並預期該短天期石油價格不會下跌。

（b）買短天期期貨或遠期契約，以避險長期風險，並預期該短天期石油價格會下跌。

（c）賣短天期期貨或遠期契約，以避險長期風險，並預期該短天期石油價格不會下跌。

（d）賣短天期期貨或遠期契約，以避險長期風險，並預期該短天期石油價格會下跌。

由於MGRM所賣的遠期石油契約之天數，比石油期貨的天數還長。因此，MGRM買的短天期期貨來避險曝露的長天期風險，MGRM當然希望所買的短天期石油期貨不要跌價，故答案為（a）。