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410140980 · 2023年07月30日

Positive LaR对应的是Outflow.

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000007

问题如下：

Which of the following statement about Funding Liquidity Risk Measurement is not correct?

选项：

A.

The credit spread between Eurodollar LIBOR and Treasuries is known as the TED spread. This reflects expected credit losses as well as a liquidity risk premium.

B.

LaR is the maximum likely cash outflow over the horizon period at a specified confidence level.

C.

A negative LaR means that the likely ‘worst’ outcome is an outflow of cash. A positive LaR means likely worst is an inflow.

D.

Even LaR and VaR has the same position, these two measures can be totally different.

解释：

考点：对Funding Liquidity Risk Measurement的理解

答案： 选项C描述错误，因此本题选C。

解析：

C选项描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.

C选项正确的描述为：A positive LaR means that the likely ‘worst’ outcome is an outflow of cash. A negative LaR means likely worst is an inflow

老师LaR的概念理解是不是和VaR一样都表示损失或者现金流短缺的概念，所以才有Positive LaR对应的是Outflow，相当于加了绝对值

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1 个答案

李坏_品职助教 · 2023年07月30日

嗨，努力学习的PZer你好：


LAR可以看做是cash outflow的最大可能值，越是Positive，就越有现金流短缺。

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