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薛真 · 2020年03月09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).

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。

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1 个答案

品职答疑小助手雍 · 2020年03月09日

同学你好，因为3个月的期货有基差啊，3个月的期货的价格是市场对3个月后IBM的价格预期，你无法确定你两个月后把这个3个月的期货平仓的话带来的损益能否对冲你手里头寸的损益。（比如现在1月1号，用2个月的forward合约的规定可以保证锁定3月1号的股票卖价，但是你用3个月的future，期货未到期的话S和F是可能存在差异的。到期才能保证S和F必定相等。）

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