Basis risk

英文Basis risk

中文 (征集中)


The risk that the value of a futures contract (or an over-the-counter hedge) will not move in line with that of the underlying exposure. The risk that the cash-futures spread will widen or narrow between the times at which a hedge position is implemented and liquidated. There are various types of basis risk: (1)Locational: (eg,) A heating oil wholesaler that sells its product in Baltimore will be exposed to basis risk if it hedges using New York Harbor heating oil futures contracts listed by NYMEX. (2)Product: Mismatches in type or quality of hedge and underlying (eg, hedging jet fuel with heating oil); (3)Time or ‘calendar’: (eg,) hedging an exposure to physical prices in December with a January futures contract



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