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八月必过 · 2022年03月06日

basis risk 不是因为标的物不同造成的吗 为啥1错了

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.

basis risk 不是因为标的物不同造成的吗 为啥1错了

1 个答案

品职答疑小助手雍 · 2022年03月06日

同学你好,基差风险对应的不只是标的物的差别,比如同样是SP500期货,不同期限的期货之间也是有基差的。

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