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和棋 · 2021年03月15日

为什么C选项算stressed outflow

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000067

问题如下：

Which of the following statements is NOT correct?

选项：

A.

Liquid asset buffer may be reduced in severe stress, as the liquidity-generating capacity of securities included in the liquid asset buffer may be reduced in periods of severe condition.

B.

Stressed Liquid Asset Buffer = Normal Liquid Asset Buffer – Stressed Cash Outflow + Stressed Cash Inflows

C.

Prematurely settled non-contractual maturity obligations can be classified as stressed outflows

D.

When considering stressed inflows, we should be aware that stressed inflows may be reduced or limited in a particular stress scenario

解释：

考点：对Measuring Contingent Liquidity Requirements的理解

答案：A

解析：

A选项错误，在计算Liquid asset buffer时，应该确保liquidity-generating capacity在危急时刻不受影响。关于A选项正确的表述为：

Ensure that the liquidity-generating capacity of securities included in the liquid asset buffer remains intact even in periods of severe stress.

银行未预期的，没到期的存款人提前来取钱应该是很平常的事情吧？为什么算 Stressed outflow呢

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1 个答案

小刘_品职助教 · 2021年03月15日

同学你好，

你指的是选项C？你说的这种情况不是C主要表述的内容，首先1）活期存款，存款人来提取，这个银行是会依据大数据计算给一个预留额，这部分当然不能算做Stressed outflow，如果是远超过这部分预留额，就做Stressed outflow；2）定期存款（非机构客户），存款人来提前支取并不属于一个很正常的事情，相当于你违约了，这个是可以归类于Stressed outflow，题目也说的是 can be；3）题目想说的应该是机构或者同业客户，单笔金额很大的情况，是可以归类于Stressed outflow的。

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