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pz-stepsutake · 2020年03月28日

问一道题：NO.PZ2019070901000122 NSFR

  1. FRM II
  2. Basel Accord

问题如下：

Rachel, the CRO of bank AK, made several statements about the key point of net stable funding ratio(NSFR), which of them are correct?

I. After all wholesale funding and capital are deducted, bank AK still have enough deposit sources of funding for its assets.

II. Bank AK can go through a 30- day period of reduced/disrupted liquidity.

III. Bank AK can manage liquidity over a period of one year.

IV. Bank AK can provide capital accounts with reliable common equity financing.

选项：

A.

I and II.

B.

II, III and IV.

C.

only III.

D.

I, II and IV.

解释：

C is correct.

考点：the net stable funding ratio

解析：

NSFR的目标是确保银行在未来一年内不会遭受流动性风险带来的损失，而LCR则确保银行在30天内流动性下降时不会遭受损失, III正确

请问选项A，要是改成正确表达，应该是怎样？

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2 个答案

袁园_品职助教 · 2020年05月07日

同学你好！

IV 说法没问题，已通知老师把 C 选项修改成 “III&IV”，谢谢同学指正！

袁园_品职助教 · 2020年03月28日

同学你好！

这道题考察的是 NSFR 的定义，即要求银行的 available stable funding > required stable funding，这两个值怎么算可以听何老师这一节课的视频；不是选项 A 里简单定义的 除了 wholesales funding，deposits 可以 cover assets

 

Eve · 2020年05月04日

请问选项IV错在哪里呢？

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