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~