FRM一级风险管理基础重点汇总-德国金属公司

风险管理基础作为FRM一级考试中占比20%的部分，也是我们备考的重点，这一部分的特点就是多且杂，建议大家在理解的基础上对定义进行记忆，可以结合一些重点例题，加深对知识点的理解。

正保会计网校的老师给大家总结好了FRM风险管理基础的重要知识点和常考点，还结合了精选例题做了细致的讲解，想必一定能帮到你，一起来学习一下吧！

先来看看Alex老师的整体知识点介绍，更好理解呦！

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知识点：德国金属公司 

Metallgesellschaft

Ø MGRM wrote (sold) long-term forward contracts to sell gas/oil

Ø Hedge with long positions in short-term futures (stack-and-roll hedge)

Ø As spot oil prices dropped, oil futures curve shifted to contango (curve risk)

Ø In 1993, creditors rescued with a $1.9 billion package

常考点：

1. 掌握各个案例之间的相同点和不同点，德国金属公司是没有内部欺诈的。

2. 滚动对冲是进入一个短期合约，当合约到期时再进入一个新的短期合约，以此实现长期对冲的目的。

3. 升水是期货价格高于现货价格，会导致滚动对冲的成本增加。

例题：

Metallgesellschaft Refining and Marketing offered customers long-term contracts with fixed prices for petroleum contracts. Their strategy to hedge this exposure:

A. Did not account for funding risk created by a mismatch between the timing of the hedge cash flows and the contract cash flows.

B. Failed because of improper internal controls.

C. Was based on fraudulent reporting.

D. Suffered from poor diversification.

【正确答案】A

【答案解析】

Metallgesellschaft implemented a stack-and-roll hedge strategy, which uses short-term futures contracts to hedge long-term risk exposure. The stack-and-roll hedge strategy proved ineffective due to interim funding cash outflows created by margin calls, a shift in the market from backwardation to contango, and other factors. No offsetting interim cash inflows were available on their long-term customer contracts, creating a liquidity crisis that was exacerbated by their size of their futures positions in relation to the liquidity of the market. Central themes were not diversification, fraud, or operational controls.

以上就是FRM一级风险管理基础重点汇总-德国金属公司的相关内容，后期小编会持续给大家更新相关重要知识点，小伙伴们可以关注【 备考经验 】栏目查看！

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