开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

面猪登🐷💰💄✈️ · 2021年10月29日

老师请问这题的LaR的说法

  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

是和公式有关所以这句没问题吗？但文字表述，好像不太理解
添加评论
1 个答案

DD仔_品职助教 · 2021年10月29日

嗨，努力学习的PZer你好：


这个就是对LaR的基本定义的理解，LaR定义的是有风险的现金流，也就是在一段期间内，有多少现金流会流出，对银行造成流动性的风险。所以正数LaR代表的是现金流流出，负数LaR代表室现金流流入。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 356

    浏览
相关问题

NO.PZ2020042003000007 问题如下 Whiof the following statement about FunngLiquity Risk Measurement is not correct? The cret sprebetweenEurollLIBOR anTreasuries is known the TEsprea This reflects expectecret losses aswell a liquity risk premium. Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解答案 C描述错误，因此本题选C。解析C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow 老师LaR的概念理解是不是和VaR一样都表示损失或者现金流短缺的概念，所以才有Positive LaR对应的是Outflow，相当于加了绝对值

2023-07-30 15:04 1 · 回答

NO.PZ2020042003000007 问题如下 Whiof the following statement about FunngLiquity Risk Measurement is not correct? The cret sprebetweenEurollLIBOR anTreasuries is known the TEsprea This reflects expectecret losses aswell a liquity risk premium. Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解答案 C描述错误，因此本题选C。解析C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow Lis the maximum likely cash outflow over the horizon perioa specifieconfinlevel.LaR不是cash flow risk嘛，为什么是maximum cash outflow呢为什么不是inflow呢

2023-04-29 23:22 1 · 回答

NO.PZ2020042003000007 问题如下 Whiof the following statement about FunngLiquity Risk Measurement is not correct? The cret sprebetweenEurollLIBOR anTreasuries is known the TEsprea This reflects expectecret losses aswell a liquity risk premium. Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解答案 C描述错误，因此本题选C。解析C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow 请问下这个B LaR应该是unexpectecashoutflow吧？这个B感觉是分为点的值 不是LaR

2022-07-01 18:17 1 · 回答

NO.PZ2020042003000007 Lis the maximum likelycash outflow over the horizon perioa specifieconfinlevel. A negative Lmeans ththelikely ‘worst’ outcome is outflow of cash. A positive Lmeans likely worstis inflow. EvenLanVhthe same position, these two measures ctotally fferent. 考点对Funng Liquity Risk Measurement的理解 答案 C描述错误，因此本题选解析 C描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow. C正确的描述为Apositive Lmeans ththe likely ‘worst’ outcome is outflow of cash. Anegative Lmeans likely worst is inflow 这一题为何negative lar是inflow

2021-05-11 13:00 2 · 回答