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金融民工阿聪 · 2021年02月13日

A选项中 of positive and expected cash flows，是为什么是正的？

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000059

问题如下：

Which of the following statements is NOT correct?

选项：

A.

The term structure of expected cash flows (TSECF) can be defined the collection, ordered by date, of positive and expected cash flows, up to expiry referring to the contract with the longest maturity

B.

The term structure of cumulated expected cash flows (TSECCF) is the collection of expected cumulated cash flows, starting at t0 and ending at tb, ordered by date

C.

Liquidity generation capacity is the ability of a bank to generate positive cash flows beyond contractual ones from the liquidity available in the B/S and off the B/S at a given date.

D.

The TSECCF is positive at all times.

解释：

考点：对Quantitative Liquidity Risk Measures的理解

答案：D

解析：

D选项错误，最完美的状态是保持TSECCF一直是正数，这样就意味着Positive cash flows能够足额Cover negative cash flows。但是存在TSECCF是负数的情况。

 A选项中 of positive and expected cash flows，是为什么是正的？

ECF不是可正可负吗

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小刘_品职助教 · 2021年02月18日

同学你好，


这只是一种表达方式，原版书上就这么讲的，并不是强调他是正的😅

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