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lynn666 · 2023年02月22日

b选项

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000067

问题如下：

Which of the following statements is NOTcorrect?

选项：

A.

Liquid asset buffer may bereduced in severe stress, as the liquidity-generating capacity of securitiesincluded in the liquid asset buffer may be reduced in periods of severecondition.

B.

Stressed Liquid Asset Buffer= Normal Liquid Asset Buffer – Stressed Cash Outflow + Stressed Cash Inflows

C.

Prematurelysettled non-contractual maturity obligations can be classified as stressedoutflows

D.

Whenconsidering stressed inflows, we should be aware that stressed inflows may bereduced or limited in a particular stress scenario

解释：

考点：对Measuring Contingent LiquidityRequirements的理解

答案：A

解析：

A选项错误，在计算Liquidasset buffer时，应该确保liquidity-generating capacity在危急时刻不受影响。关于A选项正确的表述为：

Ensure that the liquidity-generatingcapacity of securities included in the liquid asset buffer remains intact evenin periods of severe stress.

不是应该加上可能产生的stressed outflow，减去inflow ，才能保证安全垫足够安全，现金流充足吗？

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1 个答案

品职答疑小助手雍 · 2023年02月23日

同学你好，这里考的是词条定义：

Normal liduqid Asset buffer 是现在有的，可以用于吸收损失的现金，然后减去压力情境下需要流出的现金流，再加上压力情境下的现金流流入，就是我们压力情景下可以使用的buffer，这样才能判断我们的现金是否充足

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