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Kathy苏苏 · 2023年02月03日

basis risk

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000016

问题如下：

Which of the following trades contain mainly basis risk?

I.     Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Nov 07 NYMEX WTI Crude Oil contracts

II.   Long 1,000 lots Nov 07 ICE Brent Oil contracts and long 2,000 lots Nov 07 ICE Brent Oil at-the-money put

III.  Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 ICE Brent Oil contracts

IV.  Long 1,000 lots Nov 07 ICE Brent Oil contracts and short 1,000 lots Dec 07 NYMEX WTI Crude Oil contracts

选项：

A.

  II and IV only

B.

  I and III only

C.

  I, III, and IV only

D.

  Ill and IV only

解释：

ANSWER: C

There is mainly basis risk for positions that are both long and short either different months or contracts. Position II. is long twice the same contract and thus has no basis risk (but a lot of directional risk) .

ICE Brent Oil contracts 和NYMEX WTI Crude Oil contract怎么看出是现货还是期货合同？basis risk是不是在2个现货合同之前也会存在？在2个期货合同之前也会存在？谢谢老师。

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1 个答案

李坏_品职助教 · 2023年02月03日

嗨，爱思考的PZer你好：


布伦特原油期货和WTI原油期货都是世界上著名的期货合约，这个属于业内习惯称呼，默认都是期货。


讲义里给的basis risk定义是spot和future之间的价差变动带来的风险，这个是狭义的basis risk。广义的basis risk也可以指两个相同品种、不同到期日的期货合约之间的风险，或者两个不同品种之间的风险，一般都是指的期货合约。


现货没太有人去研究basis，因为做交易都是做期货合约的，很少有做现货。

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