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hyp1124 · 2020年09月14日

问一道题：NO.PZ2020042003000067 [ FRM II ]

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

Which of the following statements is NOTcorrect?

选项：

A.

Liquid asset buffer may bereduced in severe stress, as the liquidity-generating capacity of securitiesincluded in the liquid asset buffer may be reduced in periods of severecondition.

B.

Stressed Liquid Asset Buffer= Normal Liquid Asset Buffer – Stressed Cash Outflow + Stressed Cash Inflows

C.

Prematurelysettled non-contractual maturity obligations can be classified as stressedoutflows

D.

Whenconsidering stressed inflows, we should be aware that stressed inflows may bereduced or limited in a particular stress scenario

解释：

考点：对Measuring Contingent LiquidityRequirements的理解

答案：A

解析：

A选项错误，在计算Liquidasset 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-generatingcapacity of securities included in the liquid asset buffer remains intact evenin periods of severe stress.

能解释一下选项C什么意思嘛？

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已采纳答案

品职答疑小助手雍 · 2020年09月15日

嗨，从没放弃的小努力你好：


stressed outflow就是那些在stress情况下可能发生的outflow，

可以提前mature的负债债权人可以提前来要钱，所以属于stressed outflow。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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