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kayi · 2021年02月21日

C

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000014

问题如下：

Which of the following statements about the “Liquidity Risk Management of Financial Institutions” is NOT correct?

选项：

A.

For commercial banks, Fragility can be mitigated through higher capital, which reduces depositors’ concern about solvency, the typical trigger of a run, and higher reserves, which reduces concern about liquidity.

B.

If one hedge fund has unused borrowing capacity on pledged assets to finance additional positions, it means that it does not have the funding liquidity risk.

C.

In a systemic risk event, many hedge funds that had not experienced large losses could receive redemption requests from investors who were themselves seeking liquidity.

D.

For commercial banks, keeping certain ratios of ready cash and readily marketable securities can help to meet unusual demands by depositors and other short-term lenders for the return of their money.

解释：

考点：对Liquidity Risk Management of Financial Institutions的理解

答案：B选项描述错误，本题选B

解析：

B选项错误，即便拥有Unused borrowing capacity，依然有可能面临Funding liquidity risk，因为承诺提供Borrowing的机构可能会提高Haircut，或者会拒绝Hedge fund提供的Collateral，在这种情况下Unused borrowing capacity很有可能无法兑现。

C怎么理解，能否解释一下
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1 个答案

袁园_品职助教 · 2021年02月22日

同学你好！


C是说有些HF尽管本身并没有很大的亏损，仍然面临流动性风险，因为在 systemic risk event 的时候，这些HF的投资者为了流动性，可能要求赎回放在HF里面的投资（去弥补他们在别处的流动性压力），从而间接的给这些HF带来了流动性风险。


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