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滴滴姐姐~ · 2021年09月25日

D是不是expected改成unexpected就对了呀~

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000064

问题如下：

The following statements are about the cash flows at risk, which of the following statements is NOT correct?

选项：

A.

Most cash flows are stochastic in either or both dimensions.

B.

the term structure of expected cash flows, cumulated cash flows and expected liquidity generation capacity are introduced for these stochastic cash flows.

C.

Cash Flows at Risk shows the extreme values that both positive and negative cash flows may assume during the time of their occurrence.

D.

Cash Flows at risk gives us the expected value of stochastic cash flows.

解释：

考点：对The Term Structure of Expected Liquidity,Cash Flows at Risk,TSLaR的理解

答案：D

解析：

选项D错误，CFaR告诉我们的是极值现金流，不是现金流的均值。

如题。~

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李坏_品职助教 · 2021年09月25日

嗨，从没放弃的小努力你好：


对，按照原版书的讲解：

这个地方的cf1 - α()，是超出置信度水平之外的极端现金流，再减掉expected cf可以看作是unexpected的cf

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

李坏_品职助教 · 2021年09月25日

嗨，从没放弃的小努力你好：


cash flow at risk算出来的是extreme cash flow，这里和expected或者unexpected没有什么关系~

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努力的时光都是限量版，加油！

滴滴姐姐~ · 2021年09月25日

CFaR不是=CF_1-alpha - CF_e吗~ 是这个公式吧 CF_1-alpha应该就是传说中的extreme cash flow吧 我问这个是因为，何老师好像基础班讲了expected和unexpected 说 减掉CF_e就是unexpected 本来想确认一下这道题在考这个的哈哈哈哈

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