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小王爱学习 · 2022年02月11日

看了别的同学回答还是有一些不太理解

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.

II. A short hedge position benefits from unexpected strengthening of basis.

III. A long hedge position benefits from unexpected strengthening of basis.


1、请问这里的unexpected strengthening of basis.怎么理解

2、应该用讲义哪部分来理解这个概念

3、这题应该怎么理解,谢谢老师

1 个答案

品职答疑小助手雍 · 2022年02月11日

同学你好,1.basis是现货减期货,unexpected strengthening 就是现货减期货这个值无预兆的变大了。

2和3.结合的就是讲义里section8里面basis定义来思考,basis unexpected strengthening 在题目的环境下(long hedge或者short hedge)会带来什么后果。 

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