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我们 · 2020年06月09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liquidity asset buffer是指一个流动性强的资产组合？保证银行在受到压力下，有充足的流动性，这个buffer不能被reduced ?

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1 个答案

袁园_品职助教 · 2020年06月09日

同学你好！

是的，答案解析里也明确说了：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.

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