FRM P1金融市場(chǎng)與產(chǎn)品重要知識(shí)點(diǎn)—基差風(fēng)險(xiǎn)

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 ?知識(shí)點(diǎn)：基差風(fēng)險(xiǎn)? 

Basis & Basis risk

The basis is the difference between the spot price and the futures price

Basis = Spot price ? Futures price

Basis risk: Basis risk is the risk associated with the basis at the time a hedge is closed.

? Most futures positions are closed out prior to the delivery period specified in the contract. (cont.)

常考點(diǎn)：

1. 基差的計(jì)算方式是現(xiàn)貨價(jià)格減去期貨價(jià)格。

2. 基差增加時(shí)，空方對(duì)沖頭寸受益；基差減小時(shí)，多方對(duì)沖頭寸受益。

例題：

Which of the following statements 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 Short hedge position benefits from unexpected strengthening of basis.
III Long hedge position benefits from unexpected strengthening of basis.
A.I and II
B.I and III
C.II only
D.III only

【正確答案】C

【答案解析】An increase in basis is known as a strengthening of the basis. The payoff to the short hedge position is spot price at maturity S2 and the difference between futures price i.e., (F1– F2). Thus, payoff = F1 + b2. A short hedge position benefits from strengthening of basis.

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