中文摘要：

从钢材贸易商角度,探讨钢材贸易商进行套期保值时面对的基差风险。分析了宏观经济因素和微观市场因素对基差的影响,发现宏观经济因素会影响基差走势,但效果并不明显。微观市场因素对基差存在显著的影响,投资者进入市场时可以根据微观市场因素进行时点选择。从在险价值角度,结合核估计法、GARCH参数法与半参数法计算出基差风险的在险价值,当极端市场出现时,发现基于核估计的非参数法能很好的度量基差风险,参数法无法对极端风险给出较好拟合,而半参数法对一般的尾部行情估计也存在偏差。为套期保值者提供了风险管理依据。

英文摘要：

In the view of steel traders,we explore the basis risk for the hedging in the steel future market and analyze the impact of the macroeconomic factors and micro-market factors on the basis risk empirically.The results show that the macro-economic factors affect the trend of the basis,but the effect is not high;and it has a significant impact on the basis for micro-market factors.According to the micro-market factors,the investors may select the time point to enter the market.From the perspective of the value of risk,we use the GARCH parametric method,semi-parametric method and the non-parametric method to calculate the basis risk.The value of basis risk provides a foundation for hedging the risks.