NO.PZ2019052801000028
问题如下：
Which of the following statements about basis risk is correct?
Statement 1: Basis risk increases when futures contracts are rolled over, or delivery date is before maturity date.
Statement 2: A portfolio manager decides to hedge against a two-year T-bond with the purchase of Treasury bill futures，he may be exposed to basis risk.
选项：
A.Statement 1 only.
B.Statement 2 only.
C.Both statement 1 and statement 2 are correct.
D.Neither statement 1 nor statement 2 is correct.
解释：
C is correct.
考点：Basis risk.
解析：
当期货合约的到期日和现货的到期日不相同时，会增加基差风险。statement 1正确。
用短期国债期货去对冲2年期国债也会导致基差风险，因为当利率变化时，二者的价格变化可能会不同步。statement 2 正确。
roll over的目的不是将与underlyding asset更加匹配的hedge instrument做对冲吗，这样想应该换仓的时候会降低基差风险
