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滴滴姐姐~ · 2021年09月26日

我来问问A

  1. FRM II
  2. Liquidity and Treasury Risk

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.

B.

Stressed Liquid Asset Buffer = Normal Liquid Asset Buffer – Stressed Cash Outflow + Stressed Cash Inflows

C.

Prematurely settled non-contractual maturity obligations can be classified as stressed outflows

D.

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：

  1. stressed时，liquidity asset buffer是会降低的；因为根据B的公式，stressed outflow > stressed inflow
  2. 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~

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品职答疑小助手雍 · 2021年09月26日

同学你好，对的，后半句错在应该要维持inact，不是就此沉沦。

其实就是描述现象的时候，是会降低；

但是要描述操作的时候，我们要扛住。

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