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　　stack-and-roll hedge as described in the Metallgesellschaft case is best described as:
　　A.      Buying futures contracts of different expirations and allowing them to expire in sequence.
　　B.      Buying futures contracts of different expirations and closing out the position shortly before
　　expiration.
　　C.      Using short-term futures to hedge a long-term risk exposure by replacing them with longer-
　　term contracts shortly before they expire.
　　D.      Using short-term futures contracts with a larger notional value than the long-term risk they are
　　meant to hedge.
　　答案解析: C
　　Explanation: Hamanaka established a dominant long position in futures contracts and simultaneously purchased large quantities of physical copper. As well, to help finance his long copper positions, he even sold put options on copper.
　　知識點：
　　Financial Disasters – Allied Irish Bank, Sumitomo and UBS
　　Allied Irish Bank: currency trader, John Rusnak, hid $691 million in losses; Rusnak bullied back-office workers into not following-up on trade confirmations for fake trades.
　　Sumitomo: trader attempted to corner the copper market by buying large quantities of physical copper and long futures positions; Copper prices plunged, causing huge losses; Lesson is the lack of operational and risk controls that allowed this scheme to go undetected.
　　UBS: largely tied to the failure of LTCM. UBS’s exposure to LTCM involved a 40% direct investment in the hedge fund and a 60% exposure to written options on the fund. LTCM’s lack of transparency made it difficult for UBS to fully understand the nature of its positions. It was believed that UBS failed to properly analyze and stress test its position.
　　本期試題：
　　Past financial disasters have resulted when a firm allows a trader to have dual roles as both the head of trading and the head of the back-office support function. Which of the following case studies did not involve this particular operational risk oversight?
　　I.         Drysdale Securities
　　II.        Daiwa
　　III.       Allied Irish Bank
　　IV.     Barings
　　A.      I only
　　B.      II and IV only
　　C.      I and III only
　　D.      IV only
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