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Dorothy · 2020年09月03日

问一道题：NO.PZ2020042003000006

  1. FRM II
  2. Liquidity and Treasury Risk

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.

C里面LC的计算方法不是固定的吗u-z*sigma?老师没有讲会变成加号。

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1 个答案

小刘_品职助教 · 2020年09月04日

同学你好，

bid-ask价差大是流动性不好，流动性不好的时候成本大，如果是用减法，不就是价差越大成本比较小了

如果你用u-z*sigma，那z就要取负值了

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