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frm二级过过过！ · 2023年10月24日

D选项怎么理解

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000012

问题如下：

Which of the following statements about the liquidity in crisis situations is NOT correct?

选项：

A.

When crisis happens, the market liquidity could dry up.

B.

In the crisis situation, the orders cannot be executed, to make the market the dealer would decrease the bid-ask spread.

C.

In the crisis situation, the sell orders can overwhelm the market.

D.

If the margin or collateral requirement is m and the maximum loss for the position is L(Max), the worst-case cash outflow is: m × L（Max）

解释：

考点：对Liquidity in Crisis Situations的理解

答案：B选项描述错误，本题选B

解析：

B选项错误，在危机情景下，Dealer做市要承担更大的风险，因此Bid–ask spread rises dramatically.

No.PZ2020042003000012 (选择题)

来源: 品职出题

Which of the following statements about the liquidity in crisis situations is NOT correct?

您的回答B, 正确答案是: B

A

When crisis happens, the market liquidity could dry up.

B

正确In the crisis situation, the orders cannot be executed, to make the market the dealer would decrease the bid-ask spread.

C

In the crisis situation, the sell orders can overwhelm the market.

D

If the margin or collateral requirement is m and the maximum loss for the position is L(Max), the worst-case cash outflow is: m × L（Max）


请教一下 D选项怎么理解

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1 个答案

李坏_品职助教 · 2023年10月24日

嗨，从没放弃的小努力你好：


参考基础班讲义Liquidity in Crisis Situations这部分的讲解：

the margin or collateral requirement is m，这个m是一个比率，如果资产价格下跌了L(Max)，对应要补充的保证金就是m * L(Max)。



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