基差风险

套期保值与基差风险GPS双差基集的生成

Hedge and Basis Risk The Construction of Basis Sets of GPS Double Differences

但套期保值操作本身也存在经营风险，即基差风险。

Hedging in itself , however , also involves operating risk , i.e. , basis risk .

金融期货交易中的套期保值和基差风险分析

The Analysis of Hedging and Basic Risk in Financial Futures Markets

这种做法忽略了股票指数期货和现货间的基差风险。

This approach ignored the stock index futures and the cash-poor risks .

如何度量基差风险就成为学者们研究的问题。

How to measure the spread risk becomes scholars ' research topics .

通过套期保值，投资者可以对持有的股票头寸面临的风险进行对冲，将市场风险转化为相对于市场风险小很多的基差风险。

Through hedging , investors can transform market risk into much smaller base risk .

套期保值实质就是以较小的基差风险来代替市场价格风险。

In fact , hedging takes place of market price risk with less basis risk .

三是利用多种期货合约对一种现货进行套期保值分散了基差风险。

Thirdly , we use multiple futures to hedge single cash to disperse the basis risk .

导致基差风险的因素很多包括市场风险、政策风险以及操作风险等。

Many factors lead to the spread risks including market risk , policy risk and operation risk .

套期保值与基差风险

Hedge and Basis Risk

另外，文章还对基金在套期保值中面临的基差风险、流动性风险等进行了探讨。

In addition , the article discusses the basis risk , liquidity risk which the funds faced when hedging .

第四部分针对套期保值业务的特点，探讨了进行技术创新防范与控制期货价格风险与基差风险的方法。

In the fourth part , the method of technological innovation is introduced to avoid some of the hedge risks .

实证结果表明：本模型可以有效分散基差风险，提高套期保值收益。

The empirical test shows that this paper 's model can effectively disperse the basis risk and increase the hedge return .

所买卖的期货合约价值与要进行套保的现货商品价值之间比值，用来计算最小化基差风险。

Ratio of the value of futures contracts purchased or sold to the value of the cash commodity being hedged , a computation necessary to minimize basis risk .

如果对引起基差风险的各个因素分别进行风险度量然后进行综合评价，这样既复杂也存在一定的主观性。

If we make the risk measurement for those factors causing spread risk separately and then make an overall evaluation , which is complex and kind of subjective .

引入多个期货合约收益率向量代替单个合约的收益率，推导出多种期货合约对一种现货进行套期保值模型，解决了交叉套期保值的基差风险分散问题。

We introduce the futures return vector to replace the single future return , deduce the multiple futures to single cash hedge model to realize the dispersion of basis risk .

然后，基于风险价值测量结果，进行基差风险控制应用举例说明。最后，本文从实际应用出发，给出一些基差风险管理的建议。

Fourthly , Based on the measuring results of risk value , this paper illustrates to introduce the control of basis risk . Lastly , we also give some advises on basis risk management .

以中国商业银行的具体情况为现实依据，采用比较分析法对我国商业银行面临的重新定价风险、基差风险、收益曲线风险、期权性风险进行系统分析。

Based on the specific circumstances reality of Chinese commercial banks , applying comparative analysis to analyze the commercial banks that facing reprising risk , basis risk , yield curve risk and optional risk systematically .

本文经过对典型套保亏损案例的深入分析，认识到企业保值亏损的主要原因是因为需要面对基差风险、现金流风险和投机风险等。

After an in-depth analysis of the typical hedging loss case , this article realizes that the main reason of hedge loss is due to enterprises fail to face basis risk , cash flow risk and speculative risk .

论述了金融期货的内涵、金融期货市场中的套期保值理论、基本操作方法和期货交易中存在的基差风险以及基差的变动对套期保值效果的影响。

S : This paper explains the nature of financial futures , hedging theory and the basic operation methods of hedging in financial futures market , and the basic risk in trading of futures and also analyses the change of basic risk to the effects of hedging .

从而帮助企业降低保值成本，成功应对基差风险和现金流风险，最终实现成功保值。本文首先在国外原油期货品种上构建了该策略，并将其扩展运用到了国内铜期货品种上。

Then , it can help enterprises to reduce hedge cost , deal with basis risk and cash flow risk successfully , and ultimately achieve successful hedge . Firstly , the strategy was constructed on crude oil futures successfully , and then expands the usage on copper futures .

通过对套期保值避险原理和基差风险的阐述，应用概率统计的方差分析和微积分知识，采用数学推理来确定最佳套期保值比率，使风险最小化。

This paper , with an introduction of basic risk and risk-avoiding theory of hedge ratio , shows the reader a new way to ascertain the best hedge ratio for the minimum risks by applying mathematical knowledge such as probability statistics and analysis of variance to the inference process .

研究结果表明：基差对现货和期货风险结构的影响是不对称的，其中负基差对风险结构的影响要大于正基差的影响。

The results suggest that the basis effect is asymmetric , i.e. , the negative basis has greater impact than the positive basis on the variance and covariance structure .

套期保值者进行套期保值交易的目的是转移现货市场上的价格波动风险，套期保值交易效果常常受基差变动的影响，所以，基差风险的存在会影响套期保值交易效果。

The purpose of hedge transaction is hedger transfer risk of price fluctuation on spot market . The result of hedge is usually affected by basis change . So basis risk can change the result of hedge .

通过将模型得出的理论数据与实际基差的变动情况加以比较，来考察该模型是否能有效的度量基差波动的风险。

Through comparing the theoretical data got from the model with the actual basis of changes , which can be used to test if this model can effectively measure the spread fluctuation risk .

基差同时也是衡量期货价格与现货价格关系的重要指标，期货市场主要经济功能也是主要通过基差来体现的，所以基差风险也就成为人们关注和研究的焦点。

Spread is also an important indicator to measure the relationship between futures price and spot price . Main economic functions of the futures market are mainly through the spread to reflect , so the spread risk has become a focus of concern and research .