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金融民工阿聪 · 2020年11月04日

问一道题：NO.PZ2020042003000061

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

Which of the following statements is NOT correct?

选项：

A.

For the repo transactions, the TSAA is reduced but the TSECF and TSECCF are not affected

B.

For the reverse repo transaction, the TSAA is increased and the TSLGC is not affected

C.

For the sell/buyback transactions, TSAA decreases.

D.

For the security lending, TSAA decreases and the TSLGC increases.

解释：

考点：对Quantitative Liquidity Risk Measures的理解

答案：D

解析：

D选项表述错误，对于Security lending, TSAA降低，同时TSLGC不变。

C中，先sell，TSAA减少。后面buy back，TSAA不久增加了吗，为什么题目说decrease是正确的呢（不是应该先降后升）。

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小刘_品职助教 · 2020年11月04日

同学你好，

因为这道题的C考察的是你说的前一个阶段，没有去考察后面再buy back这个。

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