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hsl87 · 2024年02月21日

a选项错了吧

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000063

问题如下：

The following statements are about the termstructure of expected liquidity. Which of the following statement is NOTcorrect?

选项：

A.

The term structure of expected liquidity(TSLe) is basically a combination of the TSECCF and the TSLGC

B.

The term structure ofexpected liquidity is a measure to check whether the financial institution isable to cover negative cumulated cash flows at any time in the future

C.

The TSL could be negative evenif the financial institution wants to be solvent all the time

D.

TheTSLe includes all possible expected cash flows generated by ordinary businessactivity, new business, the liquidity policy operated, and the measures takento cope with negative cumulated cash flows.

解释：

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

答案：C

解析：

选项C错误，正确的表述应为：TheTSL must always be positive if the financial institution has to be solvent allthe time.

应该是tseccf和tsclgc之和

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已采纳答案

李坏_品职助教 · 2024年02月23日

嗨，努力学习的PZer你好：


TSL就是现金流+流动性来源，而其中的现金流指标用TSECCF来代表，流动性指标用TSLGC（这个是根据FRM官方的说法，当然严格来说确实是TSCLGC才是累计流动性的概念。）。

参考FRM官方教材，教材中的定义写的是TSLGC，而公式中用的是TSCLGC，所以在我看来这两个并不矛盾，FRM只是想让我们知道TSLe是由现金流和流动性两个维度组成的：


至于TSCLGC, 它其实就是TSLGC的集合，在基础班讲义Exapmle 7.3的解析中：

是直接写成TSLE = sum of TSECCF and TSCLGC。计算的时候还是用TSCLGC参与计算，但是在文字描述中按照FRM官方定义说成TSLGC也不算错。

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hsl87 · 2024年02月23日

tseccf是累计现金流，tsclgc才是对应累计现金流吧

李坏_品职助教 · 2024年02月21日

嗨，爱思考的PZer你好：


这段话是讲义P202开头的部分：

TSECCF是考虑现金流的，而TSLGC是考虑流动性的，这俩结合起来才是TSL。

TSL是考虑机构是否有足够的现金流来产生需要的流动性，因此它才必须是正的才可以说机构有清偿能力。

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