NO.PZ2016082404000013
问题如下：
Under which scenario is basis risk likely to exist?
选项：
A.
A hedge (which was initially matched to the maturity of the underlying) is lifted before expiration.
B.
The correlation of the underlying and the hedge vehicle is less than one and their volatilities are unequal.
C.
The underlying instrument and the hedge vehicle are dissimilar.
D.
All of the above are correct.
解释：
ANSWER: D
Basis risk occurs if movements in the value of the cash and hedged positions do not offset each other perfectly. This can happen if the instruments are dissimilar or if the correlation is not unity. Even with similar instruments, if the hedge is lifted before the maturity of the underlying, there is some basis risk.
基差风险存在于两者不同到期日不同种类不同价格。
