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RyanR · 2024年02月05日

影响流动性风险的因素

  1. CFA I
  2. Portfolio

NO.PZ2018070201000030

问题如下：

Which of the following is closely associated with liquidity risk?

选项：

A.

The default probability.

B.

Uncertainty of the valuation spread.

C.

The variable financial market.

解释：

B is correct.

The liquidity risk is caused by uncertainty of valuation spread. The risk is that this spread cost might increase dramatically as a result of either changing market conditions or attempting to maintain a position significantly larger than the normal trading volume for the stock.

B选项就是交易成本增加带来的流动性风险对吧。


C选项不确定的市场环境，那糟糕的市场环境也会增加交易成本导致流动性风险啊


A选项本质是信用风险，但是信用风险也会引发流动性风险啊。。


就很困惑。

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2 个答案

Kiko_品职助教 · 2024年02月13日

嗨，爱思考的PZer你好：


是的。我们做这种题目的时候，就是选出最直接能够反映出来的，不要去强加给题目太多东西。

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Kiko_品职助教 · 2024年02月07日

嗨，爱思考的PZer你好：


题目问的是 closely associated with liquidity risk是哪个，最closely的当然是B选项。你也说了，A和C都是本身是别的风险，有可能会导致流动性风险的，本身金融风险之间就不是独立的，像你这样想的话题目也没法做了呀。


按照原版书的分类，把risk先分成了financial risk和non-financial risk这两个大类。然后financial risk下主要包括三个：market risk， credit risk和liquidity risk。其余的各种类似legal risk等都属于non-financial risk。按照这个框架逐级区分即可。

所以这道题A选项是credit risk的范畴，C选项更多的是market risk的范畴。B选项指的是spread的大小会有不确定性，这是liquidity risk的内容，因为spread反应了流动性的水平，例如bid-ask spread如果很大，就说明流动性差。

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RyanR · 2024年02月08日

大概懂了。。就是B是最直接的反应流动性的，C也是可能造成B，反映出来流动性不好，

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