FRM P1金融市场与产品重要知识点—基差风险

金融市场与产品作为FRM P1考试当中占比百分之30的考试科目，可以说是我们备考的重中之重！正保会计网校的老师给大家整理了金融市场与产品科目里面的重要知识点，知识点搭配例题，帮助大家更好的吸收！今日一起来学习基差风险吧！

不要急！先来看看LuLu老师的整体科目介绍！

↓↓↓

 ▶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.

以上就是FRM P1金融市场与产品重要知识点-基差风险的相关内容，后期小编会持续给大家更新相关重要知识点，小伙伴们可以关注【 备考经验 】栏目查看！