Basis risk - Revision history

imported>Doug Williamson: Add link.

2022-11-10T20:52:10Z

Add link.

← Older revision		Revision as of 20:52, 10 November 2022
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	* [[Hedging]]		* [[Hedging]]
	* [[Interest Rate Risk in the Banking Book]] (IRRBB)		* [[Interest Rate Risk in the Banking Book]] (IRRBB)
			* [[Location basis risk]]
	* [[Official Bank Rate]]		* [[Official Bank Rate]]
	* [[Reference rate]]		* [[Reference rate]]

imported>Doug Williamson: Mend link.

2022-06-24T09:14:58Z

Mend link.

← Older revision		Revision as of 09:14, 24 June 2022
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	* [[Hedge effectiveness]]		* [[Hedge effectiveness]]
	* [[Hedging]]		* [[Hedging]]
	* [[~~IRRBB~~]]		* [[Interest Rate Risk in the Banking Book]] (IRRBB)
	* [[Official Bank Rate]]		* [[Official Bank Rate]]
	* [[Reference rate]]		* [[Reference rate]]

imported>Doug Williamson: Update for LIBOR transition.

2022-02-16T12:44:24Z

Update for LIBOR transition.

← Older revision		Revision as of 12:44, 16 February 2022
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	For example, a UK bank's mortgage assets might be priced by reference to BBR (the Bank of England's Official Bank Rate) plus a margin, while the bank's funding is priced at ~~LIBOR~~ (plus a margin).		For example, a UK bank's mortgage assets might be priced by reference to BBR (the Bank of England's Official Bank Rate) plus a margin, while the bank's funding is priced at SONIA (plus a margin).

	The bank's net interest income depends on the differential between BBR and ~~LIBOR~~.		The bank's net interest income depends on the differential between BBR and SONIA.


	Basis risk - in this context - means the risk of adverse changes in the differential between BBR and ~~LIBOR~~. An adverse change might compress the bank's net interest income, or even result in losses.		Basis risk - in this context - means the risk of adverse changes in the differential between BBR and SONIA. An adverse change might compress the bank's net interest income, or even result in losses.


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	* [[Hedging]]		* [[Hedging]]
	* [[IRRBB]]		* [[IRRBB]]
	* [[LIBOR]]
	* [[Official Bank Rate]]		* [[Official Bank Rate]]
	* [[Reference rate]]		* [[Reference rate]]
			* [[SONIA]]

	[[Category:Financial_risk_management]]		[[Category:Financial_risk_management]]

imported>Doug Williamson: Categorise.

2018-02-28T14:39:19Z

Categorise.

← Older revision		Revision as of 14:39, 28 February 2018
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	* [[Official Bank Rate]]		* [[Official Bank Rate]]
	* [[Reference rate]]		* [[Reference rate]]

			[[Category:Financial_risk_management]]

imported>Doug Williamson: Add headings.

2016-11-12T12:37:39Z

Add headings.

← Older revision		Revision as of 12:37, 12 November 2016
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	1.		1. ''Hedging''.

	Basis risk includes the risk of an unfavourable change in the relationship between the price of a derivative and the market value of an underlying asset or liability being hedged.		Basis risk includes the risk of an unfavourable change in the relationship between the price of a derivative and the market value of an underlying asset or liability being hedged.
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	2.		2. ''Funding''.

	Basis risk also arises in bank funding.		Basis risk also arises in bank funding.

imported>Doug Williamson: Expand.

2016-08-24T14:23:35Z

Expand.

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-Basis risk usually means the risk of an unfavourable change in the relationship between the price of a derivative and the market value of an underlying asset or liability being hedged.
+.
 For example resulting in a smaller profit being enjoyed on a hedging derivative, than the loss suffered on the underlying exposure.
 Good hedge design therefore seeks to eliminate or minimise basis risk in the hedged position, so far as practicable.
@@ Line 10: / Line 27: @@
 * [[Hedge effectiveness]]
 * [[Hedging]]

imported>Doug Williamson: Layout.

2016-06-17T15:23:55Z

Layout.

← Older revision		Revision as of 15:23, 17 June 2016
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	Good hedge design therefore seeks to eliminate or minimise basis risk in the hedged position, so far as practicable.		Good hedge design therefore seeks to eliminate or minimise basis risk in the hedged position, so far as practicable.


	== See also ==		== See also ==
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	* [[Hedge effectiveness]]		* [[Hedge effectiveness]]
	* [[Hedging]]		* [[Hedging]]

imported>Administrator: CSV import

2012-10-23T14:10:26Z

CSV import

New page

Basis risk usually means the risk of an unfavourable change in the relationship between the price of a derivative and the market value of an underlying asset or liability being hedged.

For example resulting in a smaller profit being enjoyed on a hedging derivative, than the loss suffered on the underlying exposure.

Good hedge design therefore seeks to eliminate or minimise basis risk in the hedged position, so far as practicable.

== See also ==
* [[Basis]]
* [[Hedge effectiveness]]
* [[Hedging]]