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金融民工阿聪 · 2020年11月04日

问一道题：NO.PZ2020042003000064

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

The following statements are about the cash flows at risk, which of the following statements is NOT correct?

选项：

A.

Most cash flows are stochastic in either or both dimensions.

B.

the term structure of expected cash flows, cumulated cash flows and expected liquidity generation capacity are introduced for these stochastic cash flows.

C.

Cash Flows at Risk shows the extreme values that both positive and negative cash flows may assume during the time of their occurrence.

D.

Cash Flows at risk gives us the expected value of stochastic cash flows.

解释：

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

答案：D

解析：

选项D错误，CFaR告诉我们的是极值现金流，不是现金流的均值。

B这句话怎么理解

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1 个答案

品职答疑小助手雍 · 2020年11月04日

嗨，努力学习的PZer你好：


就是算是个归类吧，XXX和XXX的term structure是归类在stochastic cash flows里的。


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