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FRM P1金融市场与产品重要知识点—基差风险
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▶知识点：基差风险◀
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.)
常考点：
1. 基差的计算方式是现货价格减去期货价格。
2. 基差增加时，空方对冲头寸受益；基差减小时，多方对冲头寸受益。
例题：
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
【正确答案】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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