开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

基德王道 · 2019年08月12日

问一道题:NO.PZ2016082404000015 [ FRM I ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

strengthen basis如何理解

1 个答案

品职答疑小助手雍 · 2019年08月12日

同学你好,strengthen of basis这题里的意思是用来对冲的期货价格对现货价格spot price的下跌反应更加明显,比如,现货跌了1%的时候期货跌了2%这种情况。这时候short hedge的position就会因为期货跌价更多而受益更高。

  • 1

    回答
  • 1

    关注
  • 369

    浏览
相关问题

NO.PZ2016082404000015 问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. short方是以FP卖出unrlying,当basis大于零的时候,SP大于FP,卖方必须以更低的FP卖出,不是有亏损吗?

2024-10-18 17:22 1 · 回答

NO.PZ2016082404000015问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. Strengthen of basis是指t时刻,现货价格大于期货价格,为什么这个情况是short futures会获益呢?可以具体下逻辑关系吗?

2024-05-15 23:15 2 · 回答

NO.PZ2016082404000015问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. 这里long hee是指long期货还是现货?清楚啊老师

2024-04-12 15:44 1 · 回答

NO.PZ2016082404000015 问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. 基差变大,有两种可能受益,一个是long现货,一个short futures,这里的short hee是特指short futures吗?

2023-11-02 10:30 1 · 回答

NO.PZ2016082404000015 问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. 老师您好,请问2,3要怎么理解。

2022-05-12 16:37 1 · 回答