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lynn666 · 2023年05月11日

TSL不是考量cf的吗

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000063

问题如下：

The following statements are about the termstructure of expected liquidity. Which of the following statement is NOTcorrect?

选项：

A.

The term structure of expected liquidity(TSLe) is basically a combination of the TSECCF and the TSLGC

B.

The term structure ofexpected liquidity is a measure to check whether the financial institution isable to cover negative cumulated cash flows at any time in the future

C.

The TSL could be negative evenif the financial institution wants to be solvent all the time

D.

TheTSLe includes all possible expected cash flows generated by ordinary businessactivity, new business, the liquidity policy operated, and the measures takento cope with negative cumulated cash flows.

解释：

考点：对The Term Structure of ExpectedLiquidity,Cash Flows at Risk,TSLaR的理解

答案：C

解析：

选项C错误，正确的表述应为：TheTSL must always be positive if the financial institution has to be solvent allthe time.

关于C选项，solvent的含义是asset大于liability，TSL考量的是cash flow，二者不是应该没有必然联系吗

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1 个答案

pzqa27 · 2023年05月12日

嗨，爱思考的PZer你好：


TSECCF是考虑现金流的，而TSLGC是考虑流动性的，这俩结合起来才是TSL，TSL是考虑机构是否有足够的现金流来产生需要的流动性，因此它才必须是正的才可以说机构有清偿能力

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