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

返回

🍑🍑🍑🍑🍑🍑🍑 · 2019年10月30日

问一道题：NO.PZ2016082404000014

  1. FRM I
  2. Financial Markets And Products

问题如下：

Mary has IBM stock and will sell it two months from now at a specified date in the middle of the month. Mary would like to hedge the price of risk of IBM stock. How could she best hedge the IBM stock without incurring basis risk?

选项：

A.

  Short a two-month forward contract on IBM stock

B.

  Short a three-month futures contract on IBM stock

C.

  Short a two-month forward contract on the S&P 500 index

D.

  Answers A and B are correct.

解释：

ANSWER: A

Basis risk is minimized when the maturity of the hedging instrument coincides with the horizon of the hedge (i.e., two months) and when the hedging instrument is exposed to the same risk factor (i.e., IBM).

forwad contract不是存在违约风险啊， 万一对手方违约了就一点都hedge不掉了，那3个月的future只差了一个月，不是可以再做offsetting什么之类的弥补一下吗？

就是感觉forward contract跟现在持有的future contact都不是一种contract，怎么能完美hedge了呢

添加评论
1 个答案
已采纳答案

纯洁的栗子叔 · 2019年10月30日

题目里说Mary would like to hedge the price of risk of IBM stock. 所以我认为她想要对冲的风险是由于IBM价格变动而引起的，所以你说的违约风险应该是本来不存在但是由于引入了衍生品而有可能产生的风险，那么就不应该在hedge的范畴里。

  • 1

    回答

  • 0

    关注

  • 516

    浏览
相关问题

NO.PZ2016082404000014问题如下 Mary hIstock anwill sell it two months from now a specifiete in the mile of the month. Mary woullike to hee the priof risk of Istock. How coulshe best hee the Istowithout incurring basis risk?   Short a two-month forwarcontraon IBM stock   Short a three-month futures contraon IBM stock   Short a two-month forwarcontraon the S&P 500 inx   Answers A anB are correct. ANSWER: A Basis risk is minimizewhen the maturity of the heing instrument coincis with the horizon of the hee (i.e., two months) anwhen the heing instrument is exposeto the same risk factor (i.e., IBM). 是不是futures就算是两个月也不行？因为自带basis？

2024-04-12 15:21 1 · 回答

NO.PZ2016082404000014 问题如下 Mary hIstock anwill sell it two months from now a specifiete in the mile of the month. Mary woullike to hee the priof risk of Istock. How coulshe best hee the Istowithout incurring basis risk?   Short a two-month forwarcontraon IBM stock   Short a three-month futures contraon IBM stock   Short a two-month forwarcontraon the S&P 500 inx   Answers A anB are correct. ANSWER: A Basis risk is minimizewhen the maturity of the heing instrument coincis with the horizon of the hee (i.e., two months) anwhen the heing instrument is exposeto the same risk factor (i.e., IBM). Mary hIstoanwill sell it two months from now a specifiete in the mile of the month. 老师，能翻译下这句话吗？是2个月后卖股票吗？a specifiete in the mile of the month怎么理解？到底什么时候卖股票？in the mile of the month，这个month说的是哪个月？谢谢。

2023-02-03 09:44 1 · 回答

Mary hIstoanwill sell it two months from now a specifiete in the mile of the month. Mary woullike to hee the priof risk of Istock. How coulshe best hee the Istowithout incurring basis risk?   Short a two-month forwarcontraon Isto  Short a three-month futures contraon Isto  Short a two-month forwarcontraon the S&P 500 inx   Answers A anB are correct. ANSWER: A Basis risk is minimizewhen the maturity of the heing instrument coincis with the horizon of the hee (i.e., two months) anwhen the heing instrument is exposeto the same risk factor (i.e., IBM). 为什么不能用3个月的期货合约对冲呢？2个月后，我期货合约平仓了呀。

2020-03-09 00:20 1 · 回答

B如果把3个月改成2个月就可以了吗？futures和forwar都可以的对吗？

2019-09-29 09:04 1 · 回答