問題詳情
96.有關「跨月價差風險」在整戶風險保證金計收方式(SPAN)計算時的考量，下列何者正確？
(A)跨月風險價差在 SPAN 算式中為加項
(B)SPAN 假設相同標的不同月份契約之波動與標的指數波動為完全相關
(C)SPAN 先假設作多 1 口 8 月大台指期貨及作空 1 口 9 月大台指期貨，風險值視為０，再考量跨月風險值
(D)選項A、B、C均正確
(A)跨月風險價差在 SPAN 算式中為加項
(B)SPAN 假設相同標的不同月份契約之波動與標的指數波動為完全相關
(C)SPAN 先假設作多 1 口 8 月大台指期貨及作空 1 口 9 月大台指期貨，風險值視為０，再考量跨月風險值
(D)選項A、B、C均正確
參考答案
答案：D
難度：計算中-1
書單：沒有書單，新增
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