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410140980 · 2023年08月01日

cash flow是随机的

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000064

问题如下：

The following statements are about the cash flows at risk, which of the following statements is NOT correct?

选项：

A.

Most cash flows are stochastic in either or both dimensions.

B.

the term structure of expected cash flows, cumulated cash flows and expected liquidity generation capacity are introduced for these stochastic cash flows.

C.

Cash Flows at Risk shows the extreme values that both positive and negative cash flows may assume during the time of their occurrence.

D.

Cash Flows at risk gives us the expected value of stochastic cash flows.

解释：

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

答案：D

解析：

选项D错误，CFaR告诉我们的是极值现金流，不是现金流的均值。

老师A选项怎么理解？现金流在各个维度（时间和金额）都是随机的？

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1 个答案

pzqa27 · 2023年08月01日

嗨，从没放弃的小努力你好：


这题是讲义里的原话，意思是大多数现金流而言，对于现金流的流入和流出两端，都是比较随机不太可控的

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努力的时光都是限量版，加油！

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