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徐威廉 · 2024年04月12日

futures是不是不能用

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000014

问题如下：

Mary has IBM stock and will sell it two months from now at a specified date in the middle of the month. Mary would like to hedge the price of risk of IBM stock. How could she best hedge the IBM stock without incurring basis risk?

选项：

A.

  Short a two-month forward contract on IBM stock

B.

  Short a three-month futures contract on IBM stock

C.

  Short a two-month forward contract on the S&P 500 index

D.

  Answers A and B are correct.

解释：

ANSWER: A

Basis risk is minimized when the maturity of the hedging instrument coincides with the horizon of the hedge (i.e., two months) and when the hedging instrument is exposed to the same risk factor (i.e., IBM).

是不是futures就算是两个月也不行？因为自带basis？

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李坏_品职助教 · 2024年04月12日

嗨，爱思考的PZer你好：


可以用。Basis risk都是存在的，只是当对冲工具的期限与投资期限（题目中是two months）相等，并且对冲工具的标的资产与现货资产相同时，Basis risk会降低至最小。


B选项如果改为two month就对了。

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