开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

shirleygong2016 · 2022年07月01日

LaR不是非预期部分吗

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000007

问题如下：

Which of the following statement about Funding Liquidity Risk Measurement is not correct?

选项：

A.

The credit spread between Eurodollar LIBOR and Treasuries is known as the TED spread. This reflects expected credit losses as well as a liquidity risk premium.

B.

LaR is the maximum likely cash outflow over the horizon period at a specified confidence level.

C.

A negative LaR means that the likely ‘worst’ outcome is an outflow of cash. A positive LaR means likely worst is an inflow.

D.

Even LaR and VaR has the same position, these two measures can be totally different.

解释：

考点：对Funding Liquidity Risk Measurement的理解

答案： 选项C描述错误，因此本题选C。

解析：

C选项描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.

C选项正确的描述为：A positive LaR means that the likely ‘worst’ outcome is an outflow of cash. A negative LaR means likely worst is an inflow

请问下这个B选项

LaR应该是unexpected cashoutflow吧？

这个B选项感觉是分为点的值 不是LaR

添加评论
1 个答案

品职答疑小助手雍 · 2022年07月02日

同学你好，B选项就是LaR的定义原话，基础班讲义27页。

它其实就是cash flow版的var，计量方式就是按分位点计算的。

  • 1

    回答

  • 0

    关注

  • 266

    浏览
相关问题

NO.PZ2020042003000007 问题如下 Whiof the following statement about FunngLiquity Risk Measurement is not correct? The cret sprebetweenEurollLIBOR anTreasuries is known the TEsprea This reflects expectecret losses aswell a liquity risk premium. Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解答案 C描述错误，因此本题选C。解析C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow 老师LaR的概念理解是不是和VaR一样都表示损失或者现金流短缺的概念，所以才有Positive LaR对应的是Outflow，相当于加了绝对值

2023-07-30 15:04 1 · 回答

NO.PZ2020042003000007 问题如下 Whiof the following statement about FunngLiquity Risk Measurement is not correct? The cret sprebetweenEurollLIBOR anTreasuries is known the TEsprea This reflects expectecret losses aswell a liquity risk premium. Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解答案 C描述错误，因此本题选C。解析C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow Lis the maximum likely cash outflow over the horizon perioa specifieconfinlevel.LaR不是cash flow risk嘛，为什么是maximum cash outflow呢为什么不是inflow呢

2023-04-29 23:22 1 · 回答

NO.PZ2020042003000007 Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解 答案 C描述错误，因此本题选解析 C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow. C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow 是和公式有关所以这句没问题吗？但文字表述，好像不太理解

2021-10-29 12:01 1 · 回答

NO.PZ2020042003000007 Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解 答案 C描述错误，因此本题选解析 C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow. C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow 这一题为何negative lar是inflow

2021-05-11 13:00 2 · 回答