Basis Risk
From Open Risk Manual
Revision as of 17:24, 15 December 2020 by 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...")
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
