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vivian_zm · 2020年06月07日

问一道题：NO.PZ2020042003000067

  1. FRM II
  2. Liquidity and Treasury Risk

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.

请问A选项说

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.

为什么不正确？我理解压力情景下，例如security的价值、用其作为抵押的haircut等都会发生变化，那么其产生现金流的能力就会降低，liquid asset buffer在压力情况下则会下降。哪里不对呢？

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2 个答案

袁园_品职助教 · 2020年06月09日

同学你好！

解析中关于这一点说的很清楚了： 确保liquidity-generating capacity在危急时刻不受影响

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

袁园_品职助教 · 2020年06月07日

同学你好！

这里你需要理解什么样的 asset 才能被放进 liquid asset buffer

如果如你所说，一个 security 在压力情形下自身价值下降了，变卖不出去了或者需要大打折扣才能变现的，他们就不够格作 liquid asset buffer 的组成部分了，因为他们在压力情形下无法提供一个 buffer，只有强流动性资产才是好的buffer，才能帮助机构在压力下依然保证流动性。

你可以再去听一下何老师在“Measuring Contingent Liquidity Requirements”这一节的讲解

vivian_zm · 2020年06月08日

也就是说Liquid asset buffer无论在何种情况下都是一个固定的值？这里我理解liquid asset buffer就是银行LGC-资金缺口的部分，会因为liquidity generation能力的变化，比如降低，使得这个buffer变低。不是这样的吗？

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