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LHY · 2020年08月12日

问一道题:NO.PZ2020042003000010

问题如下:

Which of the following statements about the liquidity in crisis situations is NOT correct?

选项:

A.

Crisis event triggers a huge number of sell orders and traders become reluctant to buy.

B.

In the crisis, the bid-ask spread typically stay constant, but the market liquidity dries up.

C.

In the crisis, flood of sell orders can overwhelm market and delay executions.

D.

Estimating crisis liquidity is more than just extrapolation from “normal market LaR”

解释:

答案:B选项描述错误,本题选B

解析:

B选项描述错误,正确的表述为:In the crisis, bid–ask spread rises dramatically.

Role of Liquidity in Crisis Situations可以总结为:

1Crisis event triggers a huge number of sell orders

2Traders become reluctant to buy

3Bid–ask spread rises dramatically

4Flood of sell orders can overwhelm market and delay executions

5Market liquidity dries up (when most needed)

6Model assumptions (especially “liquidity in normal markets”) break down

7Estimating crisis liquidity is more than just extrapolation from “normal market LaR”

8Need to estimate crisis-liquidity risks using methods that take account for crisis features; e.g., large losses, high bid–ask spread

Estimating crisis liquidity is more than just extrapolation from “normal market LaR”


这个D怎么里面的 extrapolation怎么扯上关系的。

1 个答案

品职答疑小助手雍 · 2020年08月13日

嗨,爱思考的PZer你好:


重点不是在extrapolation上啦,句子意思其实还是对于危机时期流动性风险的衡量不只是普通的LaR的计算~


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