LTCM的流动性问题体现在什么地方？

问题如下：

The collapse of LTCM in1998 is very famous in the history of finance. Analyst Susan listed two reasons why LTCM collapsed. Are these two reasons correct?

I. The model of LTCM doesn't consider the liquidity factor.

II. The model of LTCM doesn't consider the sharp change of correlation.

选项：

Both I and II.

II only.

I only.

Neither I nor II.

解释：

A is correct.

考点：LTCM’s collapse

解析：LTCM的崩溃暴露了它模型中的以下问题：1、计算VaR时只用了10天的期限，在后来被证明太短了；2、模型中没有考虑到流动性风险；3、模型中没有考虑到相关性和波动性剧烈变化的风险。因此本题选A。