NO.PZ2020042003000064
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.
the term structure of
expected cash flows, cumulated cash flows and expected liquidity generation
capacity are introduced for these stochastic cash flows.
Cash Flows at Risk shows the
extreme values that both positive and negative cash flows may assume during the
time of their occurrence.
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。
both positive and negative cash flows may assume during the time of their occurrence.问题如下：
cfAR应该只考虑negative cash flows吧？就像var只考虑损失一样？为什么还是说B对？
