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unexpected-strengthening
YouTube
T3-05: Basis risk is about an unexpected weakening or strengthening
Basis = Spot price - Futures price; i.e., b(0) = S(0) - F(0, t). Unexpected weakening (strengthening) of the basis helps (hurts) the long hedger. David's XLS is here: https://www.dropbox.com/s/m8gu9f3hc5ql7fq/030718-forward-basis.xlsx?st=xr9ml553&dl=0
Nicole Seaman
Thread
Apr 30, 2019
basis-risk
unexpected-strengthening
unexpected-weakening
Replies: 9
Forum:
P1.T3 Financial Markets & Products
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