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seven-zhu · 2023年04月29日

如题

  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

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

LaR不是cash flow at risk嘛，为什么是maximum cash outflow呢为什么不是inflow呢

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已采纳答案

pzqa27 · 2023年04月30日

嗨，爱思考的PZer你好：


这个就是对LaR的基本定义的理解，LaR定义的是有风险的现金流，也就是在一段期间内，有多少现金流会流出，对银行造成流动性的风险。所以正数LaR代表的是现金流流出，负数LaR代表室现金流流入。

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