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小小悟空yu · 2021年05月11日

lar是var+lc吗

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000007

问题如下：

Which of the following statement about Funding Liquidity Risk Measurement is not correct?

选项：

A.

The credit spread between Eurodollar LIBOR and Treasuries is known as the TED spread. This reflects expected credit losses as well as a liquidity risk premium.

B.

LaR is the maximum likely cash outflow over the horizon period at a specified confidence level.

C.

A negative LaR means that the likely ‘worst’ outcome is an outflow of cash. A positive LaR means likely worst is an inflow.

D.

Even LaR and VaR has the same position, these two measures can be totally different.

解释：

考点：对Funding Liquidity Risk Measurement的理解

答案： 选项C描述错误，因此本题选C。

解析：

C选项描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.

C选项正确的描述为：A positive LaR means that the likely ‘worst’ outcome is an outflow of cash. A negative LaR means likely worst is an inflow

这一题为何negative lar是cf inflow
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2 个答案

品职答疑小助手雍 · 2021年10月27日

同学你好，就是一个用来对冲的债券期货来说，var因为有对冲的情况所以比较小，但是买期货其实是有杠杆的，所以你还是交了保证金的，加上你原有的头寸其实你还挺缺钱的，此时如果用来对冲的期货端亏钱了（有杠杆可能亏的保证金挺多）需要你去补交保证金的时候你缺的钱会很多。

品职答疑小助手雍 · 2021年05月11日

嗨，爱思考的PZer你好：


你说的是transaction liquidity measurement里面的计算（LVAR）。

这题问的是funding liquidity里的概念（LAR）。

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六姑娘 · 2021年10月26日

讲义里面的最后一段话的后半句是什么意思

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