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RyanR · 2023年04月06日

B选项LGC也归在cash flow里面吗

  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。

LGC不是一般都是和资产相关的吗

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2 个答案

pzqa27 · 2023年04月07日

嗨，努力学习的PZer你好：


LGC的定义在第一页讲义上已经写了，它指的是银行产生正的现金流的能力，资产只是LGC的表现形式，而这些资产产生流动性的方式就是带来正的现金流

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa27 · 2023年04月06日

嗨，从没放弃的小努力你好：


LGC本身就是用来产生现金流的，并且它也的确是用来解决负的expected CF的

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加油吧，让我们一起遇见更好的自己！

RyanR · 2023年04月07日

但是LGC是用来产生现金流的，但是LGC不应该是个资产吗

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