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小壹万万呀 · 2022年11月20日

Liquidity Trading Risk & Transactions liquidity risk的区别是什么

  1. 如题, Liquidity Trading Risk & Transactions liquidity risk的区别是什么
  2. 这个题目PZ2020042003000027的B选项不理解 

PZ2020042003000027

Which of the following statements about Liquidity Trading Risk is NOT correct?

选项:

A.

In stressed conditions, liquidating even a relatively small position can then be time-consuming and is sometimes impossible.

B.

The bid price tends to increase, and the offer price tends to decrease with the size of a trade.

C.

“Liquidity black hole” describes the following phenomenon: when one financial institution finds that it needs to unwind a position, many other financial institutions with similar positions need to do the same thing. The liquidity in the market then evaporates.

D.

Predatory trading describes the following phenomenon: when a market participant has a large position, others guess that it will have to be unwound in the near future. Then others will trade in advance.

解释:

考点:对Liquidity Trading Risk的理解

答案:B选项描述错误,所以本题选B

解析:

当Trade size增加时,会占用market maker更多的资金量,同时增加了Market maker对冲风险的难度,因此当Trade size增加时,Market maker会要求一个更高的Bid-ask spread,具体而言就是,当我们卖出标的资产给Market maker时,Market maker会报一个更低的收购价(Bid price)买入,当我们从Market maker处买入标的资产时,Market maker会报一个更高的卖出价(Offer price)卖出。

The bid price tends to decrease, and the offer price tends to increase with the size of a trade.

1 个答案

品职答疑小助手雍 · 2022年11月20日

同学你好,1、是一个意思,这个risk的表现就是bid-ask spread。

2、随着交易量的增大(比如你一次想卖掉1千万股苹果股票),那bid-ask spread一定是会增大的。而B选项的描述bid增大 ask(offer)减小,这意思是bid-ask spread变小,所以是错的。

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