NO.PZ2020042003000009
问题如下:
Which of the following statements about LAR
and VaR is NOT correct?
选项:
A. In the case of a
future-hedged bond, its VaR is lower but its LaR is higher, because of the
possible margin call on the futures contracts.
VaR is concerned with a loss
in value, and LaR is concerned with a cash flow shortfall.
Liquidity at Risk (LaR)) is typically
lower than the cash flow at risk.
Borrowing
and lending could influence LAR.
解释:
考点:对Funding Liquidity Risk Measurement的理解
答案: 选项C描述错误,本题选C
解析:
C选项说LAR通常是小于Cash flow at risk,这点错误,LAR的另外一种表述是Cash flow at risk: Liquidity at Risk (LaR) (also known as cash flow
at risk) is the cash-flow version of VaR.
A为什么对呢,不太懂可以解释下吗?