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小熊猫 · 2025年03月07日

这题为什么没有解析？

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2024062801000073

问题如下：

Which of the following statements describes the best approach for liquidity transfer pricing?

选项：

A.Zero cost of funds approach is preferred in cases in which swap rates are unknown and undeterminable. B.The pooled average cost of funds approach is more appropriate for banks with numerous business units. C.The separate average cost of funds approach is preferred to accurately account for business units with large trading activities. D.The matched-maturity marginal approach is preferred because it quantifies liquidity risk premiums across all maturities.

解释：

这题为什么没有解析？

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1 个答案

李坏_品职助教 · 2025年03月07日

嗨，从没放弃的小努力你好：


题目问你最合适的liquidity transfer pricing的叙述是哪一项？


A：zero cost方法适合swap rates未知的情况，这个不对。参考原版书教材的内容：



从图上可以看出，zero cost这个方法是基于swap curve（就是不同期限的swap rate的集合）去对利率风险进行定价。如果没有了swap rate，这个方法就失效了。所以A错误。


B：B说的是“pooled average cost of funds approach”适合于拥有大量业务单元的银行。这个说错了。

pooled average cost这个方法，是把银行当前所有流动性来源算一个平均的利息成本。如果银行有大量不同的业务单元，这种方法反而会无法反映银行的各种业务各自的真实成本，所以它不适合于拥有大量业务单元的银行。


C：C的意思是，单独平均资金成本法（separate average cost）更适合用于准确核算具有大规模交易活动的业务单元。

这里提到该方法适合有大规模交易活动的业务单元。但实际上，对于大型交易活动，尤其是涉及不同期限和流动性需求的情况，单独平均成本法无法准确反映流动性风险溢价，因为它只是基于历史平均，而没有考虑边际成本或期限匹配的问题。


正确的做法应该是使用期限匹配边际法（选项D），因为它能更好地量化不同期限的流动性风险。



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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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