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

薛真 · 2020年10月07日

问一道题:NO.PZ2016082404000015

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:

A.

  I and II

B.

  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

1 个答案

袁园_品职助教 · 2020年10月08日

同学你好!

基差就是由于期货和现货的maturity不同产生的,老师在这一节视频里有讲过

  • 1

    回答
  • 0

    关注
  • 456

    浏览
相关问题

NO.PZ2016082404000015 问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. short方是以FP卖出unrlying,当basis大于零的时候,SP大于FP,卖方必须以更低的FP卖出,不是有亏损吗?

2024-10-18 17:22 1 · 回答

NO.PZ2016082404000015问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. Strengthen of basis是指t时刻,现货价格大于期货价格,为什么这个情况是short futures会获益呢?可以具体下逻辑关系吗?

2024-05-15 23:15 2 · 回答

NO.PZ2016082404000015问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. 这里long hee是指long期货还是现货?清楚啊老师

2024-04-12 15:44 1 · 回答

NO.PZ2016082404000015 问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. 基差变大,有两种可能受益,一个是long现货,一个short futures,这里的short hee是特指short futures吗?

2023-11-02 10:30 1 · 回答

NO.PZ2016082404000015 问题如下 Whiof the following statements is/are true with respeto basis risk? I. Basis risk arises in cross-heing strategies, but there is no basis risk when the unrlying asset anhee asset are intical. II. A short hee position benefits from unexpectestrengthening of basis. III. A long hee position benefits from unexpectestrengthening of basis.   I anII   I anIII   II only   Ill only ANSWER: C Basis risk can arise if the maturities are fferent, so answer I. is incorrect. A short hee position is long the basis, whimeans thit benefits when the basis strengthens, because this means ththe futures priops relative to the spot price, whigenerates a profit. 老师您好,请问2,3要怎么理解。

2022-05-12 16:37 1 · 回答