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FRM P1金融市場與產(chǎn)品重要知識點—基差風(fēng)險
金融市場與產(chǎn)品作為FRM P1考試當(dāng)中占比百分之30的考試科目，可以說是我們備考的重中之重！正保會計網(wǎng)校的老師給大家整理了金融市場與產(chǎn)品科目里面的重要知識點，知識點搭配例題，幫助大家更好的吸收！今日一起來學(xué)習(xí)基差風(fēng)險吧！
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?知識點：基差風(fēng)險?
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.)
?？键c：
1. 基差的計算方式是現(xiàn)貨價格減去期貨價格。
2. 基差增加時，空方對沖頭寸受益；基差減小時，多方對沖頭寸受益。
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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