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Basis risk interest rates vs exchange rate futures

This topic has 1 reply, 2 voices, and was last updated 7 years ago by John Moffat.

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March 7, 2018 at 9:06 am #440912
essem
Member
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Are these dealt with in the same way?
I’ve seen may questions on interest rates using basis method but can’t find one on fx futures inn the revision kit….
March 7, 2018 at 10:08 am #440937
John Moffat
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Yes – the basis risk is dealt with in the same way. (I am surprised there are no questions in your revision kit, because it has been relevant in many exam questions).
You can check how we deal with it by watching my free lectures on foreign exchange risk management.
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