问题如下:
Which of the following statements is/are true with respect to basis risk?
I. Basis risk arises in cross-hedging strategies, but there is no basis risk when the underlying asset and hedge asset are identical.
II. A short hedge position benefits from unexpected strengthening of basis.
III. A long hedge position benefits from unexpected strengthening of basis.
选项: I and II
I and III
C.II only
D.Ill only
解释:
ANSWER: C
Basis risk can arise if the maturities are different, so answer I. is incorrect. A short hedge position is long the basis, which means that it benefits when the basis strengthens, because this means that the futures price drops relative to the spot price, which generates a profit.
答案中说到期日不同,就会产生基差风险,不对吧?老师