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Quantitative Finance · Glossaire

Qu'est-ce que « Basis risk » ?

Definition 1.12 Markets III: Commodities, Energy and Crypto · Chapitre 1 — Physical Commodity Markets

Basis risk is the risk that the price of the position being hedged and the price of the hedging instrument move by different amounts: the risk that remains in a hedged position because the basis between them changes.

Distribution of the cost of a cargo priced 2-1-2 around a B/L date twenty business days away, with futures at 80\,\$/ bbl, a basis of -0.30\,\$/ bbl and a differential of +0.40\,\$/ bbl: 20 000 simulated paths. The hedge removes the flat price and leaves the basis. Illustrative volatilities; data: the chapter’s tutorial.
Figure 1.2. Distribution of the cost of a cargo priced 2-1-2 around a B/L date twenty business days away, with futures at 80 $/bbl80\,\$/\mathrm{bbl}, a basis of −0.30 $/bbl-0.30\,\$/\mathrm{bbl} and a differential of +0.40 $/bbl+0.40\,\$/\mathrm{bbl}: 20 000 simulated paths. The hedge removes the flat price and leaves the basis. Illustrative volatilities; data: the chapter’s tutorial.
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