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Roxanne_104 · 2020年07月03日

问一道题：NO.PZ2016082404000015 [ FRM I ]

  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.

这里可以理解为现货价格大于期货价格，说明P下降，Short获利

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1 个答案

品职答疑小助手雍 · 2020年07月03日

嗯基本差不多，确切点说是对short有利（不一定获利）。也可能spot和期货价格都增加，但是现货价格增加的多。

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