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亚利 · 2024年04月04日

内生方法与外生方法

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000006

问题如下：

Which of the following statement is not correct?

选项：

A.

LVAR = VaR + Liquidity Cost (LC)

B.

If the bid-ask spread is constant, the liquidity cost (LC) is 0.5 × Asset value × Spread

C.

If bid–ask spreads vary substantially, the liquidity cost (LC) is 0.5 × Asset value ×(u + z×σ)

D.

If the market is likely to respond to the trade itself, an Exogenous approach is appropriate.

解释：

考点：对Transaction liquidity risk measurement的理解

答案： D选项表述错误，本题选D

解析：

正确的描述为：If the market is likely to respond to the trade itself, an endogenous approach is appropriate.

请问什么是内生方法和外生方法，两个方法的区别是什么

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1 个答案

品职答疑小助手雍 · 2024年04月04日

同学你好，流动性风险分为内生的和外生的。外生的主要是市场导致的，比如bid-ask spread。内生的主要是有资产，但是无法变现导致债务无法及时偿还这种风险。

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