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葫芦娃吃生菜 · 2025年02月25日

选项 A 怎么理解这个问题呢

NO.PZ2024062801000073

问题如下:

Which of the following statements describes the best approach for liquidity transfer pricing?

选项:

A.Zero cost of funds approach is preferred in cases in which swap rates are unknown and undeterminable.

B.The pooled average cost of funds approach is more appropriate for banks with numerous business units.

C.The separate average cost of funds approach is preferred to accurately account for business units with large trading activities.

D.The matched-maturity marginal approach is preferred because it quantifies liquidity risk premiums across all maturities.

选项 A 是什么意思

1 个答案

李坏_品职助教 · 2025年02月25日

嗨,从没放弃的小努力你好:


A : Zero cost of funds approach这个方法,适合于swap rates未知的情况。这个需要参考FRM原版书教材关于该方法的叙述:


从图上可以看出,zero cost这个方法是基于swap curve(就是不同期限的swap rate的集合)去对利率风险进行定价。如果没有了swap rate,这个方法就失效了。所以A错误。



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虽然现在很辛苦,但努力过的感觉真的很好,加油!