问题如下：
Which of the following statement is not
correct?
选项：
A. 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.
C答案
为什么不是U - z *σ 呢
LAVaR = VaR + LC
不考虑value
normal 分布 Var应该都是 U - z *σ 对吧，lognormal分布 就是 1- exp（u-z*σ）
同样的逻辑当LC里面的spread不是constant的，需要用分布时，不应该也是U - z *σ 的逻辑吗，为啥变成了加号？怎么理解啊
