NO.PZ2020042003000006
问题如下：
Which of the following statement is not
correct?
选项：
A. LVAR = VaR + Liquidity Cost (LC)
B. If the bid-ask spread is constant, the
liquidity cost (LC) is 0.5 × Asset value × Spread
C. If bid–ask spreads vary substantially, the
liquidity cost (LC) is 0.5 × Asset value ×(u + z×σ)
D. If
the market is likely to respond to the trade itself, an Exogenous approach is
appropriate.
解释：
考点：对Transaction liquidity risk measurement的理解
答案： D选项表述错误，本题选D
解析：
正确的描述为：If the market is likely to respond
to the trade itself, an endogenous approach is appropriate.
市场影响流动性和价格，不该是外生吗？不懂耶
