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十六岁的烟火 · 2020年10月08日

问一道题：NO.PZ2020042003000063 [ FRM II ]

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

The following statements are about the termstructure of expected liquidity. Which of the following statement is NOTcorrect?

选项：

A.

The term structure of expected liquidity(TSLe) is basically a combination of the TSECCF and the TSLGC

B.

The term structure ofexpected liquidity is a measure to check whether the financial institution isable to cover negative cumulated cash flows at any time in the future

C.

The TSL could be negative evenif the financial institution wants to be solvent all the time

D.

TheTSLe includes all possible expected cash flows generated by ordinary businessactivity, new business, the liquidity policy operated, and the measures takento cope with negative cumulated cash flows.

解释：

考点：对The Term Structure of ExpectedLiquidity,Cash Flows at Risk,TSLaR的理解

答案：C

解析：

选项C错误，正确的表述应为：TheTSL must always be positive if the financial institution has to be solvent allthe time.

TSL 可以为负值么

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袁园_品职助教 · 2020年10月09日

同学你好！

可以为负，TSL为负的话就不solvent了，所以C错

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