问一道题：NO.PZ2020042003000006 [ FRM II ]

问题如下：

Which of the following statement is not correct?

选项：

LVAR = VaR + Liquidity Cost (LC)

If the bid-ask spread is constant, the liquidity cost (LC) is 0.5 × Asset value × Spread

If bid–ask spreads vary substantially, the liquidity cost (LC) is 0.5 × Asset value ×(u + z×σ)

If the market is likely to respond to the trade itself, an Exogenous approach is appropriate.

解释：

考点：对Transaction liquidity risk measurement的理解

答案： D选项表述错误，本题选D

解析：

正确的描述为：If the market is likely to respond to the trade itself, an endogenous approach is appropriate.

D选项前面半句什么意思？

添加评论

1 个答案

小刘_品职助教 · 2020年05月15日

同学你好，

这句话的意思就是如果市场会对交易本身产生反应，基本粗略的理解可以认为这个交易价格出现后，市场是认可的，其中包含了流动性的溢价，不用很纠结~市场有效了，就应该用内生性的方法更好:-)

添加评论

1
回答
0
关注
442
浏览

我要回答关注问题

相关问题

NO.PZ2020042003000006问题如下 Whiof the following statement is notcorrect? LV= V+ Liquity Cost (LC) If the biask spreis constant, theliquity cost (Lis 0.5 × Asset value × Sprea. If biask sprea vary substantially, theliquity cost (Lis 0.5 × Asset value ×(u + z×σ) Ifthe market is likely to responto the tra itself, Exogenous approaisappropriate. 考点对Transaction liquity risk measurement的理解答案述错误，本题选析正确的描述为If the market is likely to respono the tra itself, engenous approais appropriate. 请问什么是内生方法和外生方法，两个方法的区别是什么

2024-04-04 11:23 1 · 回答

NO.PZ2020042003000006问题如下 Whiof the following statement is notcorrect? LV= V+ Liquity Cost (L If the biask spreis constant, theliquity cost (Lis 0.5 × Asset value × Spre If biask sprea vary substantially, theliquity cost (Lis 0.5 × Asset value ×(u + z×σ) Ifthe market is likely to responto the tra itself, Exogenous approaisappropriate. 考点对Transaction liquity risk measurement的理解答案述错误，本题选析正确的描述为If the market is likely to respono the tra itself, engenous approais appropriate. substantially 和 constant 分别指的是什么呢？

2022-03-24 10:34 1 · 回答

NO.PZ2020042003000006 If the biask spreis constant, theliquity cost (Lis 0.5 × Asset value × SpreIf biask sprea vary substantially, theliquity cost (Lis 0.5 × Asset value ×(u + z×σ) Ifthe market is likely to responto the tra itself, Exogenous approaisappropriate. 考点对Transaction liquity risk measurement的理解答案述错误，本题选解析正确的描述为If the market is likely to respono the tra itself, engenous approais appropriate. 市场影响流动性和价格，不该是外生吗？不懂耶

2021-10-29 11:55 1 · 回答

If the biask spreis constant, theliquity cost (Lis 0.5 × Asset value × SpreIf biask sprea vary substantially, theliquity cost (Lis 0.5 × Asset value ×(u + z×σ) Ifthe market is likely to responto the tra itself, Exogenous approaisappropriate. 考点对Transaction liquity risk measurement的理解答案述错误，本题选解析正确的描述为If the market is likely to respono the tra itself, engenous approais appropriate. 哈什么意思啊～

2020-09-13 17:34 1 · 回答

C里面LC的计算方法不是固定的吗u-z*sigma?老师没有讲会变成加号。

2020-09-03 16:40 1 · 回答

问一道题：NO.PZ2020042003000006 [ FRM II ]

1 个答案

1

0

442

相关问题