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.
Stressed Liquid Asset Buffer
= Normal Liquid Asset Buffer – Stressed Cash Outflow + Stressed Cash Inflows
Prematurely
settled non-contractual maturity obligations can be classified as stressed
outflows
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.
所以。。A是前半句没错, 后半句错了吗?
我看221页基础班讲义是有解析的原话的,
那是不是应该这么理解:
- stressed时,liquidity asset buffer是会降低的;因为根据B的公式,stressed outflow > stressed inflow
- 但是好的流动性管理会使LGC(contigent liquidity)维持一种intact的状态
?
以上~ 谢谢~