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和棋 · 2021年03月02日

AA bond是不是属于不确定金额和不确定时间呢？

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000053

问题如下：

Cash flows can be classified by two main dimensions: time and amount. The following statements are about the taxonomy of cash flows, which of the followings is NOT correct?

选项：

A.

First dimension to classify future cash flows is time, CFs may occur at future instants known with certainty or occur at some random instants in the future (Stochastic time).

B.

Second dimension to consider is the amount, CFs may occur in an amount known with certainty or cannot be fully determined (Stochastic cash flows).

C.

For the fixed-rate bond issued by AA-rated corporation, the bond belongs to the deterministic amount and deterministic time.

D.

When the amount is deterministic, cash flows can be labelled simply as fixed as a result of being set in such a way by the terms of a contract.

解释：

考点：对A Taxonomy of Cash Flows的理解

答案：C

解析：

只有Risk-free的现金流才属于Deterministic amount and Deterministic time，C选项说的AA-rated bond，存在Default risk，因此不属于该类现金流。

AA bond是不是属于不确定金额和不确定时间呢？

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1 个答案

小刘_品职助教 · 2021年03月02日

同学你好，

可以这么理解。

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