小編導(dǎo)讀：各位考生，如果您在學(xué)習(xí)中遇到任何疑問，請(qǐng)登錄高頓部落FRM論壇，隨時(shí)與廣大考生朋友們一起互動(dòng)交流！進(jìn)入論壇>>
　　13.    Which of the following statements are true with respect to basis risk?
　　I.     Basis risk arises in cross-hedging strategies but there is no basis risk when the underlying asset and hedge asset are identical.
　　II.    Short hedge position benefits from unexpected strengthening of basis.
　　III.    Long hedge position benefits from unexpected strengthening of basis.
　　A.    I and II
　　B.    I and III
　　C.    II only
　　D.    III only
　　答疑：主要的疑點(diǎn)在于II與III，首先需要知道short hedge position 是指賣出期貨合約來(lái)對(duì)沖，當(dāng)期貨價(jià)格相對(duì)下降時(shí)獲利；long hedge position 是指買入期貨合約來(lái)對(duì)沖，當(dāng)期貨價(jià)格相對(duì)上升時(shí)獲利。basis是指：現(xiàn)貨-期貨。
　　接下來(lái)是對(duì)“strengthening of basis”的理解：有幾個(gè)理解角度，相對(duì)現(xiàn)貨來(lái)說(shuō)，期貨價(jià)格下降的程度更大；或者說(shuō)，相對(duì)于現(xiàn)貨來(lái)說(shuō)，期貨價(jià)格漲幅低于現(xiàn)貨價(jià)格。不論從哪一個(gè)角度出發(fā)， 都是short hedge(賣空期貨)時(shí)，從中受益。