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8527 · 2023年01月17日

麻烦老师解释一下 depth 和 resiliency 的区别 谢谢

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000005

问题如下：

Which of the following statement is not correct?

选项：

A.

We can use the difference between the bid and ask prices as a cost of liquidity.

B.

When we measure the market liquidity, tightness refers to the cost of a round-trip transaction, and is typically measured by the bid-ask spread and brokers’ commissions.

C.

When we measure the market liquidity, depth describes the length of time for which a lumpy order moves the market away from the equilibrium price.

D.If the bid-ask spread were a constant, then going long at the offer and short at the bid would be a predictable cost of doing the trade.

解释：

考点：对Transaction liquidity risk measurement的理解

答案： C选项表述错误，因此本题选C。

解析：

C选项表述错误，Depth正确的表述为: Depth describes how large an order it takes to move the market adversely.

C选项描述的情景属于Resiliency: resiliency is the length of time for which a lumpy order moves the market away from the equilibrium price.

如题

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品职答疑小助手雍 · 2023年01月18日

同学你好，这两个词顾名思义，depth指的是深度（厚度），即一笔（或短时间几笔）大交易把价格改变的程度，比如一笔买单把价格提升了2块钱。

而resiliency指的是弹性，也就是这个价格改变后市场重归正常后价格会往回修正，这个修正过程需要的时间。

8527 · 2023年01月18日

谢谢您的解释！ 理解了

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NO.PZ2020042003000005问题如下 Whiof the following statement is notcorrect? We cuse the fferenbetween the biansk prices a cost of liquity. When we measure the market liquity, tightnessrefers to the cost of a rountrip transaction, anis typically measurebythe biask spreanbrokers’ commissions. When we measure the market liquity, pthscribes the length of time for whia lumpy orr moves the market awfromthe equilibrium price.If the biask sprewere a constant, then going long the offer anshort the biwoula prectable cost of ing the tra. 考点对Transaction liquity risk measurement的理解答案 C表述错误，因此本题选C。解析C表述错误，pth正确的表述为: pth scribes how large orr it takes to move the marketaersely.C描述的情景属于Resiliency:resilienis the length of time for whia lumpy orr moves the market awayfrom the equilibrium price. cost of liq 不是需要1/2•sprea

2023-08-19 18:05 1 · 回答

When we measure the market liquity, tightnessrefers to the cost of a rountrip transaction, anis typically measurebythe biask spreanbrokers’ commissions. When we measure the market liquity, pthscribes the length of time for whia lumpy orr moves the market awfromthe equilibrium price. If the biask sprewere a constant, then going long the offer anshort the biwoula prectable cost of ing the tra. 考点对Transaction liquity risk measurement的理解 答案 C表述错误，因此本题选解析 C表述错误，pth正确的表述为: pth scribes how large orr it takes to move the marketaersely. C描述的情景属于Resiliency:resilienis the length of time for whia lumpy orr moves the market awayfrom the equilibrium price. 想问下这是在讲义的第几页？

2021-10-25 19:23 1 · 回答

请问老师，述的是什么意思?

2020-07-19 11:35 1 · 回答