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Noraff · 2024年04月23日

老师可以解释一下每个选项吗

  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.

解析没有太看懂，流动性风险A选项不会有影响吗

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1 个答案

Kiko_品职助教 · 2024年04月25日

嗨，爱思考的PZer你好：


A选项说的违约概率，是信用风险，C选项说的是市场风险。

B选项说spread的大小会有不确定性，这是liquidity risk，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。

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。

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