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🧸苏小糖yb💚 · 2023年11月15日

为什么B不对

NO.PZ2023091802000035

问题如下:

A construction company that was hired for a multiyear expects to purchase 1,000.000 gallons of diesel fuel on the market over the next year to run its machinery .To hedge possible changes in the spot price of diesel fuel, the construction company buys diesel futures. Which of the following statements regarding basis risk in this situation is correct?

选项:

A.

Basis risk will arise if there is a mismatch between the maturity dates of the futures contracts and the dates that spot purchases will have to be made.

B.

Basis risk will arise if the construction company’s actual need for diesel fuel exceeds the expected need when the futures were purchased.

C.

Basis risk will not arise from a mismatch between the delivery location specified in the futures contract and the location the diesel fuel is needed if the spot purchases are made over-the-counter for delivery to the exact project location.

D.

Basis risk will not arise from a mismatch between the grade of diesel specified in the futures contract and the grade required to run the machinery unless delivery occurs.

解释:

基差风险主要有哪些能否简单列举

1 个答案

李坏_品职助教 · 2023年11月15日

嗨,爱思考的PZer你好:


基差风险:

完美的风险对冲应该是期货价格变动幅度 = 现货价格变动幅度,这样做空期货可以完美对冲现货多头的风险。


但是在现实中,由于期货品种和现货不完全匹配(或是交割品的grade不匹配、交割地点不匹配等),而且期货的合约期限也不一定等于hedging的持续期,所以期货价格变动幅度不等于现货价格变动幅度,从而带来basis risk。


所以basis risk主要是期货与现货的区别所带来的,与资产的需求量need没有什么关系,不选B。


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