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苏格拉底二徒弟🦦 · 2023年05月20日

early warning indicator

NO.PZ2022071101000005

问题如下:

The Basel Committee recommends that banks use a set of early warning indicators to identify emerging risks and potential vulnerabilities in their liquidity position. Which of the following is an early warning indicator of a potential liquidity problem?

选项:

A.

Credit rating upgrade

B.

Increased asset diversification

C.

Rapid growth in the leverage ratio with significant dependence on short-term repo financing

D.

Decreased collateral haircuts applied to the bank’s collateralized exposures

解释:

中文解析:

C是正确的。快速杠杆资产增长加上大量使用短期回购是潜在流动性问题的早期预警。减少抵押品的haircuts,评级上调,资产多元化的增加通常是风控方面积极的走向。

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C is correct. Rapid levered asset growth combined with substantial use of short-term repos is an early warning of a potential liquidity problem. Decreased collateral haircuts, a credit rating upgrade, and increased asset diversification are generally positive developments and not early warnings of a potential liquidity problem.

请问老师D为什么不对,decreased haircut 能担保额度减少了,流动性风险上升?

1 个答案
已采纳答案

李坏_品职助教 · 2023年05月20日

嗨,从没放弃的小努力你好:


贷款人提供了价值为100万的抵押品,银行只允许他贷出90万的资金。这个10万就是haircuts。


如果银行的抵押贷款的haircuts下降,一般是在抵押品质量上升的时候出现的,这是好的信号,不是警戒信号。

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