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稳过盼 · 2023年04月14日

A选项怎么理解

  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。

如题

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1 个答案

品职答疑小助手雍 · 2023年04月15日

同学你好，这题是讲义里的原话，意思是大多数现金流而言，对于现金流的流入和流出两端，都是比较随机不太可控的。

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