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🍑🍑🍑🍑🍑🍑🍑 · 2019年10月30日

问一道题：NO.PZ2016082404000014

  1. FRM I
  2. Financial Markets And Products

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).

forwad contract不是存在违约风险啊， 万一对手方违约了就一点都hedge不掉了，那3个月的future只差了一个月，不是可以再做offsetting什么之类的弥补一下吗？

就是感觉forward contract跟现在持有的future contact都不是一种contract，怎么能完美hedge了呢

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纯洁的栗子叔 · 2019年10月30日

题目里说Mary would like to hedge the price of risk of IBM stock. 所以我认为她想要对冲的风险是由于IBM价格变动而引起的，所以你说的违约风险应该是本来不存在但是由于引入了衍生品而有可能产生的风险，那么就不应该在hedge的范畴里。

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