I

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：

I and II

I and III

II only

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.

I中的identical是指资产和标的完全一样（包括到期日）吧？为什么答案说到期日不一样呢

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1 个答案

李坏_品职助教 · 2025年04月23日

嗨，努力学习的PZer你好：

I的意思是，如果衍生品的标的资产与衍生品合约的品种是一样的，比如股票现货与股票期货。注意，这里的identical仅仅说的是品种相同。

如果持有股票现货的时间，与股票期货的到期期限不一致，那么也会存在basis risk。比如我现在买了一手股票，我计划拿1个月的时间，但是股票期货的期限是3个月的，这样就会存在basis risk。

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