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LHY · 2020年08月16日

问一道题：NO.PZ2020042003000054 [ FRM II ]

  1. FRM II
  2. Liquidity and Treasury Risk

问题如下：

Which of the following cash flows belong tothe Deterministic amount/Stochastic times category?

选项：

A.

Payout of one-touch options

B.

fixed rate mortgages (Assume the amount isrisk free)

C.

floating rate coupons

D.

credit lines open to clients

解释：

考点：对A Taxonomy of Cash Flows的理解

答案：A

解析：

选项A属于Deterministicamount/Stochastic times

选项B属于Deterministicamount/Deterministic times

选项C属于Stochasticamount/Deterministic time

选项D属于Stochasticamount/Stochastic time

mortgage不是可以prepay吗 为啥不是stochastic time

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1 个答案

小刘_品职助教 · 2020年08月16日

同学你好，

这道题初始的考点应该不是去考察prepay这种情况，确实不够严谨。

不过如果考虑了prepay，其实应该也是Stochastic amount/Stochastic time 因为随着你prepay的时间点不确定，你支付的金额也不确定了，还是不能选这一项。

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