帮忙解释和翻译一下:Basis Risk.

来源:百度知道 编辑:UC知道 时间:2024/06/11 22:31:36
Futures contracts are available only for a set of standardized commodities, with specific delivery dates and locations. Thus, while a futures contract that promises to deliver crude oil in Oklahoma in June 2006 is a reasonable hedge for the cost of jet fuel in Dallas in July 2006, it will not be a perfect match. Basis risk is the risk that arises because the value of the futures contract will not be perfectly correlated with the firm's exposure.

Basis risk in finance is the risk associated with imperfect hedging using futures. It could arise because of the difference between the asset whose price is to be hedged and the asset underlying the derivative, or because of a mismatch between the expiration date of the futures and the actual selling date of the asset.

Under these conditions, the spot price of the asset, and the futures price, do not converge on the expiration date of the future. The amount by which the two quantities differ measures the value of the basis risk. That is,

Basis = Spot price of hedged asset - Futures price of contract

Example Of Basis Risk Treasury bill future being hedged by two year Bond, there lies the risk of not fluctuating as desired.

======================
期货中的Basis Risk就是基差风险

期货合约只提供了一套标准化的商品,具体的交货日期和地点。因此,虽然期货合约的承诺,提供原油在2006年6月在俄克拉何马州是一个合理的对冲的费用喷气燃料在达拉斯在2006年7月,它不会是一个完美的比赛。依据风险的风险,是因为价值的期货合约将不会完全与该公司接触。