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黄开罗 · 2019年09月17日

问一道题：NO.PZ2016082404000016

  1. FRM I
  2. Financial Markets And Products

问题如下图：

    

选项：

A.

B.

C.

D.

解释：


请问老师可以解释一下B为什么是对的吗？还有什么是directional risk？

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3 个答案

品职答疑小助手雍 · 2019年09月17日

啊哈，题目问的是哪项mainly 存在basis risk。

134同样都是1000份合约，但是品种或者期限产生错配，所以这些头寸主要的风险就是basis risk。

而2，它的put 头寸是前面long future的两倍，这个其实主要就和基差关系不大了，这个头寸是在赌下跌的方向（directional risk方向风险，其实不是一个专有名词，其实就是说这个头寸会面临油价上涨带来的单边的风险）。所以他的主要风险不是由品种或者期限错配带来的，就不选它。

黄开罗 · 2019年09月17日

抱歉老师，打错了，我想问的是第二项 "long 1000 Lots Nov 07 ICE Brent Oil contracts and short 2000 lots...... ", 为什么这个组合没有存在Basis Risk呢？ 然后Directional risk在这里怎么体现？


品职答疑小助手雍 · 2019年09月17日

同学你好，感觉这题的截图和你问的对不上号，不知道哪里出问题了

黄开罗 · 2019年09月17日

抱歉老师，打错了，我想问的是第二项 "long 1000 Lots Nov 07 ICE Brent Oil contracts and short 2000 lots...... ", 为什么这个组合没有存在Basis Risk呢？ 然后Directional risk在这里怎么体现？

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NO.PZ2016082404000016 问题如下 Whiof the following tras contain mainly basis risk? I.     Long 1,000 lots Nov 07 IBrent Oil contracts anshort 1,000 lots Nov 07 NYMEX WTI Cru Oil contracts II.   Long 1,000 lots Nov 07 IBrent Oil contracts anlong 2,000 lots Nov 07 IBrent Oil at-the-money put III.  Long 1,000 lots Nov 07 IBrent Oil contracts anshort 1,000 lots c 07 IBrent Oil contracts IV.  Long 1,000 lots Nov 07 IBrent Oil contracts anshort 1,000 lots c 07 NYMEX WTI Cru Oil contracts   II anIV only   I anIII only   I, III, anIV only   Ill anIV only ANSWER: C There is mainly basis risk for positions thare both long anshort either fferent months or contracts. Position II. is long twithe same contraanthus hno basis risk (but a lot of rectionrisk) . IBrent Oil contracts 和NYMEX WTI Cru 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。

2023-02-03 10:26 1 · 回答

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2020-06-15 13:32 1 · 回答

Whiof the following tras contain mainly basis risk? I.     Long 1,000 lots Nov 07 IBrent Oil contracts anshort 1,000 lots Nov 07 NYMEX WTI Cru Oil contracts II.   Long 1,000 lots Nov 07 IBrent Oil contracts anlong 2,000 lots Nov 07 IBrent Oil at-the-money put III.  Long 1,000 lots Nov 07 IBrent Oil contracts anshort 1,000 lots c 07 IBrent Oil contracts IV.  Long 1,000 lots Nov 07 IBrent Oil contracts anshort 1,000 lots c 07 NYMEX WTI Cru Oil contracts   II anIV only   I anIII only   I, III, anIV only   Ill anIV only ANSWER: C There is mainly basis risk for positions thare both long anshort either fferent months or contracts. Position II. is long twithe same contraanthus hno basis risk (but a lot of rectionrisk) . 请问1不对的原因是什么呢？品种？

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