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金融民工阿聪 · 2021年05月03日

A的问题

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.

B.

VaR is concerned with a loss in value, and LaR is concerned with a cash flow shortfall.

C.

Liquidity at Risk (LaR)) is typically lower than the cash flow at risk.

D.

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?

1 个答案

品职答疑小助手雍 · 2021年05月03日

嗨,从没放弃的小努力你好:


含对冲的组合一般var都不大,价格风险都被hedge掉了

但是期货合约那一端产生亏损的时候,其实整体组合是没亏多少钱的(因为另一端赚钱了),但是期货亏钱的话是会被交易所(交易所不会管你的组合收益,他们只管期货头寸的亏损)要求补充保证金的,需要流动性,所以LAR会高一些。

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努力的时光都是限量版,加油!

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