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 × L(Max)
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?