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410140980 · 2023年07月31日

ECCF

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000059

问题如下：

Which of the following statements is NOT correct?

选项：

A.

The term structure of expected cash flows (TSECF) can be defined the collection, ordered by date, of positive and expected cash flows, up to expiry referring to the contract with the longest maturity

B.

The term structure of cumulated expected cash flows (TSECCF) is the collection of expected cumulated cash flows, starting at t0 and ending at tb, ordered by date

C.

Liquidity generation capacity is the ability of a bank to generate positive cash flows beyond contractual ones from the liquidity available in the B/S and off the B/S at a given date.

D.

The TSECCF is positive at all times.

解释：

考点：对Quantitative Liquidity Risk Measures的理解

答案：D

解析：

D选项错误，最完美的状态是保持TSECCF一直是正数，这样就意味着Positive cash flows能够足额Cover negative cash flows。但是存在TSECCF是负数的情况。

老师ABC三个选项能在解释一下吗

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1 个答案

DD仔_品职助教 · 2023年08月01日

嗨，从没放弃的小努力你好：


同学你好，

A是TSECF的定义：

TSECF是一组根据日期排序的预期现金流集合，这些现金流的发生时间是直至产品到期。 比如说三年期的债券，本金100，coupon10，那么TSECF就是1时刻10，2时刻10，三时刻110

B跟A一样，也是定义。

C说的是liquidity gegeration capacity（积累流动性的能力）指的是一家银行在指定的日期内，从表内和表外筹集到超过业务需要的现金流的能力。

说大白话就是银行在限期内筹集到足够的超额现金流的能力，这种能力叫liquidity generation capacity

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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