开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

RyanR · 2024年02月05日

影响流动性风险的因素

  1. CFA I
  2. Portfolio

NO.PZ2018070201000030

问题如下：

Which of the following is closely associated with liquidity risk?

选项：

A.

The default probability.

B.

Uncertainty of the valuation spread.

C.

The variable financial market.

解释：

B is correct.

The liquidity risk is caused by uncertainty of valuation spread. The risk is that this spread cost might increase dramatically as a result of either changing market conditions or attempting to maintain a position significantly larger than the normal trading volume for the stock.

B选项就是交易成本增加带来的流动性风险对吧。


C选项不确定的市场环境，那糟糕的市场环境也会增加交易成本导致流动性风险啊


A选项本质是信用风险，但是信用风险也会引发流动性风险啊。。


就很困惑。

添加评论
2 个答案

Kiko_品职助教 · 2024年02月13日

嗨，爱思考的PZer你好：


是的。我们做这种题目的时候，就是选出最直接能够反映出来的，不要去强加给题目太多东西。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Kiko_品职助教 · 2024年02月07日

嗨，爱思考的PZer你好：


题目问的是 closely associated with liquidity risk是哪个，最closely的当然是B选项。你也说了，A和C都是本身是别的风险，有可能会导致流动性风险的，本身金融风险之间就不是独立的，像你这样想的话题目也没法做了呀。


按照原版书的分类，把risk先分成了financial risk和non-financial risk这两个大类。然后financial risk下主要包括三个：market risk， credit risk和liquidity risk。其余的各种类似legal risk等都属于non-financial risk。按照这个框架逐级区分即可。

所以这道题A选项是credit risk的范畴，C选项更多的是market risk的范畴。B选项指的是spread的大小会有不确定性，这是liquidity risk的内容，因为spread反应了流动性的水平，例如bid-ask spread如果很大，就说明流动性差。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

RyanR · 2024年02月08日

大概懂了。。就是B是最直接的反应流动性的，C也是可能造成B，反映出来流动性不好，

  • 2

    回答

  • 0

    关注

  • 170

    浏览
相关问题

NO.PZ2018070201000030 问题如下 Whiof the following is closely associatewith liquity risk? A.The fault probability. B.Uncertainty of the valuation sprea C.The variable financimarket. B is correct.The liquity risk is causeuncertainty of valuation sprea The risk is ththis sprecost might increase amatically a result of either changing market contions or attempting to maintain a position significantly larger ththe normtrang volume for the stock. 解析没有太看懂，流动性风险A不会有影响吗

2024-04-23 23:37 1 · 回答

NO.PZ2018070201000030问题如下Whiof the following is closely associatewith liquity risk?A.The fault probability.B.Uncertainty of the valuation spreaC.The variable financimarket.B is correct.The liquity risk is causeuncertainty of valuation sprea The risk is ththis sprecost might increase amatically a result of either changing market contions or attempting to maintain a position significantly larger ththe normtrang volume for the stock.看到了老师对于B的翻译，依然不理解为什么选B

2023-02-25 11:33 1 · 回答

NO.PZ2018070201000030 问题如下 Whiof the following is closely associatewith liquity risk? A.The fault probability. B.Uncertainty of the valuation sprea C.The variable financimarket. B is correct.The liquity risk is causeuncertainty of valuation sprea The risk is ththis sprecost might increase amatically a result of either changing market contions or attempting to maintain a position significantly larger ththe normtrang volume for the stock. 不确定的价值传播？

2022-12-12 21:50 1 · 回答

NO.PZ2018070201000030问题如下Whiof the following is closely associatewith liquity risk?A.The fault probability.B.Uncertainty of the valuation spreaC.The variable financimarket.B is correct.The liquity risk is causeuncertainty of valuation sprea The risk is ththis sprecost might increase amatically a result of either changing market contions or attempting to maintain a position significantly larger ththe normtrang volume for the stock.流动性风险跟fault也有比较直接关系吧，为什么A不对？

2022-11-08 14:57 2 · 回答