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kkbis · 2020年03月05日

问一道题：NO.PZ2016082404000016

  1. FRM I
  2. Financial Markets And Products

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) .

请问选项1不对的原因是什么呢？品种？

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1 个答案

小刘_品职助教 · 2020年03月05日

同学你好，你理解得是对的。

基差风险是指两个合约品种价格波动不同步带来的风险，因此合约标的不同就会带来基差风险，选项一中一个合约标的是ICE Brent Oil，另一个合约标的是NYMEX WTI Crude Oil ，不一样，所以存在基差风险。

选项三是因为合约的到期日不同，近期合约和远期合约之间的波动并不是同步的，所以存在基差风险。

选项四的标的和到期日均不相同，因此也有基差风险。

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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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