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Luhunlu · 2022年02月22日

老师,请问C怎么理解?

NO.PZ2016082404000013

问题如下:

Under which scenario is basis risk likely to exist?

选项:

A.

  A hedge (which was initially matched to the maturity of the underlying) is lifted before expiration.

B.

  The correlation of the underlying and the hedge vehicle is less than one and their volatilities are unequal.

C.

  The underlying instrument and the hedge vehicle are dissimilar.

D.

  All of the above are correct.

解释:

ANSWER: D

Basis risk occurs if movements in the value of the cash and hedged positions do not offset each other perfectly. This can happen if the instruments are dissimilar or if the correlation is not unity. Even with similar instruments, if the hedge is lifted before the maturity of the underlying, there is some basis risk.

老师,请问C选项什么意思?dissimilar代表的“不同”是指什么呢?

1 个答案
已采纳答案

品职答疑小助手雍 · 2022年02月23日

同学你好,比如航空公司怕航空煤油的价格上升,就long 原油期货(因为没有航空煤油期货这个品类)。但是原油和航空煤油价格不完全同质,会有涨跌不同的可能。

Luhunlu · 2022年02月23日

懂了,谢谢老师!

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NO.PZ2016082404000013 问题如下 Unr which scenario is basis risk likely to exist?   A hee (whiwinitially matcheto the maturity of the unrlying) is liftebefore expiration.   The correlation of the unrlying anthe hee vehicle is less thone antheir volatilities are unequal.   The unrlying instrument anthe hee vehicle are ssimilar.   All of the above are correct. ANSWER: D Basis risk occurs if movements in the value of the cash anheepositions not offset each other perfectly. This chappen if the instruments are ssimilor if the correlation is not unity. Even with similinstruments, if the hee is lifted before the maturity of the unrlying, there is some basis risk. 都已经提前平仓了,为什么还会存在基差风险,万一是ATM的时候平仓的呢

2023-04-13 19:38 1 · 回答

NO.PZ2016082404000013问题如下 Unr which scenario is basis risk likely to exist?   A hee (whiwinitially matcheto the maturity of the unrlying) is liftebefore expiration.   The correlation of the unrlying anthe hee vehicle is less thone antheir volatilities are unequal.   The unrlying instrument anthe hee vehicle are ssimilar.   All of the above are correct. ANSWER: D Basis risk occurs if movements in the value of the cash anheepositions not offset each other perfectly. This chappen if the instruments are ssimilor if the correlation is not unity. Even with similinstruments, if the hee is lifted before the maturity of the unrlying, there is some basis risk. 基差风险存在于两者不同到期日不同种类不同价格。

2023-04-11 08:30 1 · 回答

     老师你好,可以一下B吗?谢谢

2019-11-05 12:21 1 · 回答

lifte么意思?取消了?    

2019-10-21 19:57 1 · 回答