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seven-zhu · 2021年02月06日

long-the-basis是什么意思？

  1. FRM I
  2. Financial Markets And Products

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.

答案后面部分懂了，但是想问下为什么short-hedge-position就是long-the-basis呢，有点没太懂。basis=S-F，long-the-basis是什么意思？

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品职答疑小助手雍 · 2021年02月07日

嗨，爱思考的PZer你好：


Basis = S - F，当你做short hedge的时候，就是卖Forward/Futures，那么就会有- F。当你再拥有一个underlying asset的时候，就相当于人为制造了一个S - F，也就是一个basis，当这个basis变大的时候你可以获得收益，所以是long a basis。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


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