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ivywang · 2023年08月20日

A

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000067

问题如下：

Which of the following statements is NOT correct?

选项：

A.

Liquid asset buffer may be reduced in severe stress, as the liquidity-generating capacity of securities included in the liquid asset buffer may be reduced in periods of severe condition.

B.

Stressed Liquid Asset Buffer = Normal Liquid Asset Buffer – Stressed Cash Outflow + Stressed Cash Inflows

C.

Prematurely settled non-contractual maturity obligations can be classified as stressed outflows

D.

When considering stressed inflows, we should be aware that stressed inflows may be reduced or limited in a particular stress scenario

解释：

考点：对Measuring Contingent Liquidity Requirements的理解

答案：A

解析：

A选项错误，在计算Liquid asset buffer时，应该确保liquidity-generating capacity在危急时刻不受影响。关于A选项正确的表述为：

Ensure that the liquidity-generating capacity of securities included in the liquid asset buffer remains intact even in periods of severe stress.

怎么保持LGC of securities 在危机的时候intact？

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1 个答案

品职答疑小助手雍 · 2023年08月21日

同学你好，A这个是现象放在台面上说的话：就是要严格按要求，危机的时候银行就是要保证LGC不变，扛住风险。

至于银行怎么扛得住，监管不管。银行可以持有流动性好的高质量资产，自己的风控进行严格把关控制等等。

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