Joe
2022-05-04 19:58老師，以百題衍生部分case6第2小題為例，請(qǐng)問(wèn)對(duì)沖工具合約時(shí)間與被對(duì)沖資產(chǎn)敞口時(shí)間不一致，是不是也會(huì)產(chǎn)生basis risk？
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2022-05-05 11:07
該回答已被題主采納
同學(xué)你好
對(duì)沖工具合約的時(shí)間如果與敞口投資時(shí)間不同，可能會(huì)造成對(duì)沖不有效的情況。但不會(huì)帶來(lái)basis rsik，因?yàn)檫@并不符合basis risk的定義。
basis risk是指對(duì)沖工具和敞口不是完全相同的東西所導(dǎo)致的風(fēng)險(xiǎn)，比如說(shuō)持有銅現(xiàn)貨，用銅期貨對(duì)沖風(fēng)險(xiǎn)。這和時(shí)間沒(méi)有關(guān)系。
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追問(wèn)
老師，那百題這道題為什么題干說(shuō)是basis risk，而選項(xiàng)里給的都是關(guān)于合約時(shí)間是否與頭寸時(shí)間相一致的信息？由此推測(cè)，感覺(jué)時(shí)間不一致，也會(huì)有basis risk
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追答
同學(xué)你好
根據(jù)定義，basis risk是指對(duì)沖工具不同于風(fēng)險(xiǎn)敞口，或者說(shuō)對(duì)沖工具與風(fēng)險(xiǎn)敞口的變化不是完全相關(guān)所導(dǎo)致的問(wèn)題。
The portfolio manager must be aware that any time a direct currency hedge( i. e. , a spot rate hedged against its own forward contract) is replaced with an indirect hedge( cross hedge, macro hedge) , basis risk is brought into the portfolio. This risk reflects the fact that the price movements in the exposure being hedged and the price movements in the cross hedge instrument are not perfectly correlated, and that the correlation will change with time-and sometimes both dramatically and unexpectedly.
但是這個(gè)問(wèn)題我特別請(qǐng)教了資深的洪老師，洪老師回答說(shuō)只要對(duì)沖工具和敞口不一樣，就算是basis risk，哪怕是由于兩者時(shí)間的不同所導(dǎo)致的。因此這也算是basis risk的范疇。
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