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claireteng · 2022年11月17日

这个知识点在讲义哪里？

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000064

问题如下：

The following statements are about the cash flows at risk, which of the following statements is NOT correct?

选项：

A.

Most cash flows are stochastic in either or both dimensions.

B.

the term structure of expected cash flows, cumulated cash flows and expected liquidity generation capacity are introduced for these stochastic cash flows.

C.

Cash Flows at Risk shows the extreme values that both positive and negative cash flows may assume during the time of their occurrence.

D.

Cash Flows at risk gives us the expected value of stochastic cash flows.

解释：

考点：对The Term Structure of Expected Liquidity,Cash Flows at Risk,TSLaR的理解

答案：D

解析：

选项D错误，CFaR告诉我们的是极值现金流，不是现金流的均值。

这个知识点在讲义哪里？

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1 个答案

李坏_品职助教 · 2022年11月17日

嗨，从没放弃的小努力你好：


基础班讲义cash flow at risk的定义：

CF VAR考察的是极端现金流的情况，不是现金流的期望值。

----------------------------------------------
努力的时光都是限量版，加油！

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