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：
1、Crisis event
triggers a huge number of sell orders
2、Traders become
reluctant to buy
3、Bid–ask spread
rises dramatically
4、Flood of sell
orders can overwhelm market and delay executions
5、Market liquidity
dries up (when most needed)
6、Model assumptions
(especially “liquidity in normal markets”) break down
7、Estimating crisis
liquidity is more than just extrapolation from “normal market LaR”
8、Need to estimate
crisis-liquidity risks using methods that take account for crisis features;
e.g., large losses, high bid–ask spread
A选项是有很多卖单还是很多卖单在危急时刻变成买单，如果是后者危机时刻应该都是抛售行为吧
