流动性风险识别

问题如下：

Jackson Grimes, a trader for Glenn Funds, works on the repurchase agreement (repo) desk at his firm. Markets have been highly volatile but Glenn Funds has a large capital base and is sound. Grimes reports to the CEO that in the last month, the firm Glenn Funds borrows from has been consistently increasing collateral requirements to roll over repos. From the perspective of Glenn Funds, this represents:

选项：

A.

systematic risk.

B.

transactions liquidity risk.

C.

balance sheet risk.

D.

maturity transformation risk.

解释：

资金流动性风险或资产负债表风险出现于借款人的信用状况实际恶化，或者市场参与者认为其信用状况在恶化的情况下。当整个市场环境恶化时，也会发生这种情况。在这种情况下，债权人可能会撤销信贷或改变信贷条款。比如，贷方通过增加保证金要求（提高haircut，即贷款时相对于抵押品价值打折的比例）来变更信贷条件。格伦基金的实际信用worthiness即便没有下降，债权人也可能会撤回信贷或更改信贷条件。