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姜汁皮蛋 · 2022年05月12日

2.3可以解释一下吗

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000015

问题如下：

Which of the following statements is/are true with respect to basis risk?

I. Basis risk arises in cross-hedging strategies, but there is no basis risk when the underlying asset and hedge asset are identical.

II. A short hedge position benefits from unexpected strengthening of basis.

III. A long hedge position benefits from unexpected strengthening of basis.

选项：

A.

  I and II

B.

  I and III

C.

  II only

D.

  Ill only

解释：

ANSWER: C

Basis risk can arise if the maturities are different, so answer I. is incorrect. A short hedge position is long the basis, which means that it benefits when the basis strengthens, because this means that the futures price drops relative to the spot price, which generates a profit.

老师您好，请问2，3要怎么理解。

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李坏_品职助教 · 2022年05月12日

嗨，努力学习的PZer你好：


题干问的是，下列关于基差风险的选项中正确的是哪几个?


II说的是基差变大的时候。卖空套期保值会赚钱。首先要理解基差(basis) = 现货价格-期货价格，这个基差如果变大，说明期货价格相对于现货价格在走弱。无外乎两种情况：1. 期货跌的比现货多，那么我们做空期货（卖空套期保值就是针对现货做空等量的期货）赚的钱比现货亏的钱要多，总体是盈利的；2. 期货涨的比现货少，那么我们现货赚的钱也比期货亏的钱要多，总体依然盈利。


总而言之，基差变大，对于short hedge的总仓位是有好处的。


既然II是对的，III必然错了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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