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徐威廉 · 2024年04月12日

long/short hedge

  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.

这里long hedge是指long期货还是现货？解释清楚啊老师

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pzqa27 · 2024年04月12日

嗨，爱思考的PZer你好：


long hedge特指long futures来进行对冲

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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