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🌻🎀LINDA🎀🌻 · 2022年03月24日

substantially 和 constant 分别指的是什么呢？

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000006

问题如下：

Which of the following statement is not correct?

选项：

A.

LVAR = VaR + Liquidity Cost (LC)

B.

If the bid-ask spread is constant, the liquidity cost (LC) is 0.5 × Asset value × Spread

C.

If bid–ask spreads vary substantially, the liquidity cost (LC) is 0.5 × Asset value ×(u + z×σ)

D.

If the market is likely to respond to the trade itself, an Exogenous approach is appropriate.

解释：

考点：对Transaction liquidity risk measurement的理解

答案： D选项表述错误，本题选D

解析：

正确的描述为：If the market is likely to respond to the trade itself, an endogenous approach is appropriate.

substantially 和 constant 分别指的是什么呢？

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已采纳答案

李坏_品职助教 · 2022年03月24日

嗨，爱思考的PZer你好：


constant意思是恒定的，保持不变的。在B里面说的是bid-ask spread（买卖价差）保持不变。


 vary substantially意思是bid-ask spread变化很大，波动剧烈。

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