[2008]Topic 12: Hedging Strategies Using Futures相关习题 definition, difference, following, between, current

Baran

1、Which of the following is a definition of basis risk? Basis risk is the uncertainty about the difference between the:

A) spot price and the futures price at the time the hedge is removed.
 
B) current spot price and the current futures price.
 
C) current spot price and the spot price over the hedging horizon.
 
D) current spot price and the spot price at the time the hedge is removed 
 

 

[此贴子已经被作者于2009-6-24 15:34:19编辑过]

Baran

The correct answer is A

 

 

No Answer Available

Baran

2、A weakening of the basis is a consequence of the:

A) spot price increasing faster than the futures price over time.
 
B) spot price moving according to hyper-arithmetic Brownian motion.
 
C) futures price increasing faster than the spot price over time.
 
D) futures price moving according to hyper-arithmetic Brownian motion. 
 

 

Baran

The correct answer is C

 

Basis is defined as the difference between the spot price and the futures price. Weakening of the basis occurs when the futures price increases relatively faster than the spot price

Baran

3、Which of the following is closest to the correct value for the basis associated with a spot position valued at $15 per unit and a futures contract with a value of $18 per unit?

A) –$3.0.
 
B) $5.0.
 
C) $3.0.
 
D) $2.0. 
 

 

Baran

The correct answer is A 

basis = spot price of asset being hedged ? futures price of contract used in hedge:

$15.0 ? $18.0 = ?$3.0.

Baran

4、Which of the following is TRUE concerning basis risk? In a hedge using futures contracts:

A) basis risk of the hedged security is replaced with price risk.
 
B) basis risk is eliminated but price risk still exists.
 
C) both basis risk and price risk are eliminated.
 
D) price risk of the hedged security is replaced with basis risk. 
 

 

Baran

The correct answer is D 

 

No Answer Available

Baran

5、A corn grower is concerned that the price he can get from the field in mid-September will be less than he has forecasted. To protect himself from price declines, the farmer has decided to hedge. The best available futures contract he can find is for August delivery. Which of the following is the appropriate direction of his position and the source of basis risk that may impact the farmer?

A) Short futures; correlation.
 
B) Short futures; rollover.
 
C) Long futures; correlation.
 
D) Long futures; rollover. 
 

 

Baran

The correct answer is B

 

The farmer needs to be short the futures contracts. The source of basis risk for this farmer arises from the fact that his contract and harvest dates do not perfectly match. As a result, he will be exposed to basis risk due to a necessary rollover in his position.