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Fractal · 2021年10月16日

B选项的解释

NO.PZ2020042003000012

问题如下:

Which of the following statements about theliquidity in crisis situations is NOT correct?

选项:

A.

When crisis happens, the market liquiditycould dry up.

B.

In the crisis situation, theorders cannot be executed, to make the market the dealer would decrease thebid-ask spread.

C.

In the crisis situation, thesell orders can overwhelm the market.

D.

If the margin or collateral requirement is m andthe maximum loss for the position is L(Max), the worst-case cash outflow is: m × LMax

解释:

考点:对Liquidity in Crisis Situations的理解

答案:B选项描述错误,本题选B

解析:

B选项错误,在危机情景下,Dealer做市要承担更大的风险,因此Bid–ask spread rises dramatically.

您好,流动性差时才需要做市商促成交易,比如大家fly to quality想买好资产,所以spread变大。 但请问对于差的资产,dealer本身都害怕卖不掉了,不应该降价卖嘛?这个时候的spread也会变大吗?如果是,是因为它彻底不买了 所以价差才变大?

1 个答案

DD仔_品职助教 · 2021年10月16日

嗨,从没放弃的小努力你好:


同学你好~

你可以这么理解。

但不管是好的资产还是差的资产,在流动性危机的时候都卖不出去,那么dealer就会承担一个较大的风险,货都砸在自己手里,风险与回报是成正比的,对于dealer而言也是这样,spread就是dealer的回报,那么spread就会变大。

就像你理解的,差的资产本来就不咋地,再加上流动性危机,那根本就卖不上价钱,既然这样,那dealer肯定不会说降低价格贱卖,那他就挣不着钱了。那还不如就直接不卖了,等到市场好了在说。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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