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wawjbng · 2021年08月18日

4怎么理解

  1. FRM II
  2. Basel Accord

NO.PZ2019070901000122

问题如下：

Rachel, the CRO of bank AK, made several statements about the key point of net stable funding ratio(NSFR), which of them are correct?

I. After all wholesale funding and capital are deducted, bank AK still have enough deposit sources of funding for its assets.

II. Bank AK can go through a 30- day period of reduced/disrupted liquidity.

III. Bank AK can manage liquidity over a period of one year.

IV. Bank AK can provide capital accounts with reliable common equity financing.

选项：

A.

I and II.

B.

II, III and IV.

C.

III & IV.

D.

I, II and IV.

解释：

C is correct.

考点：the net stable funding ratio

解析：

NSFR的目标是确保银行在未来一年内不会遭受流动性风险带来的损失，而LCR则确保银行在30天内流动性下降时不会遭受损失, III正确

老师请问4怎么理解，又是怎么跟NSFR关联起来的呢
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1 个答案

李坏_品职助教 · 2021年08月19日

嗨，爱思考的PZer你好：


这道题目题干问的是：关于NSFR这个指标，下列哪些说法是正确的？

实际上问的是如果bank AK的NSFR指标很好，那么说明银行具备下列哪些特征？


NSFR是衡量银行在一年之内管理流动性的能力，定义如下：


Net Stable Funding Ratio (NSFR): The NSFR focuses on the bank’s ability to manage liquidity over a period of one year. The ratio is computed as:


NSFR公式如下： NSFR = amount of available stable funding / amount of required stable funding ≥ 100%

上面分子里包括了common equity这样的tier1 capital.


选项中第四项的意思是：bank AK有足够的的common equity(tier 1 capital, 银行的股本金)作为融资来源，这正好符合NSFR的定义。





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