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•西• · 2020年09月13日

问一道题:NO.PZ2020042003000006 [ FRM II ]

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.

解释哈D是什么意思啊~
1 个答案

袁园_品职助教 · 2020年09月14日

同学你好!

D的意思就是如果市场会对交易本身产生反应,基本粗略的理解可以认为这个交易价格出现后,市场是认可的,其中包含了流动性的溢价。市场有效了,就应该用内生性的方法更好~

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