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🍑🍑🍑🍑🍑🍑🍑 · 2019年10月31日

问一道题：NO.PZ2016082404000015

  1. FRM I
  2. Financial Markets And Products

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.

hi 答案里面说的 long the basis， basis不是风险吗， 风险也可以拿来交易呀？


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1 个答案

纯洁的栗子叔 · 2019年10月31日

Basis = S - F，当你做short hedge的时候，就是卖Forward/Futures，那么就会有- F。当你再拥有一个underlying asset的时候，就相当于人为制造了一个S - F，也就是一个basis，所以是long a basis。

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