Basis Risk: Difference between revisions
From Open Risk Manual
Wiki admin (talk | contribs) (Created page with "== Definition == '''Basis Risk''' is a type of esoteric or residual Market Risk when the actual traded instrument or instruments used to hedge and/or valuate a position a...") |
(No difference)
|
Latest revision as of 17:24, 15 December 2020
Definition
Basis Risk is a type of esoteric or residual Market Risk when the actual traded instrument or instruments used to hedge and/or valuate a position are not 100% correlated
Examples
- Variance between a futures exchange price and a cash price.
- Difference between an index value and the value of its components