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面猪登🐷💰💄✈️ · 2021年10月29日

老师请问这题的LaR的说法

  1. FRM II
  2. Liquidity and Treasury Risk

NO.PZ2020042003000007

问题如下：

Which of the following statement about Funding Liquidity Risk Measurement is not correct?

选项：

A.

The credit spread between Eurodollar LIBOR and Treasuries is known as the TED spread. This reflects expected credit losses as well as a liquidity risk premium.

B.

LaR is the maximum likely cash outflow over the horizon period at a specified confidence level.

C.

A negative LaR means that the likely ‘worst’ outcome is an outflow of cash. A positive LaR means likely worst is an inflow.

D.

Even LaR and VaR has the same position, these two measures can be totally different.

解释：

考点：对Funding Liquidity Risk Measurement的理解

答案： 选项C描述错误，因此本题选C。

解析：

C选项描述错误。Negative LaR对应的是Inflow，Positive LaR对应的是Outflow.

C选项正确的描述为：A positive LaR means that the likely ‘worst’ outcome is an outflow of cash. A negative LaR means likely worst is an inflow

是和公式有关所以这句没问题吗？但文字表述，好像不太理解
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1 个答案

DD仔_品职助教 · 2021年10月29日

嗨，努力学习的PZer你好：


这个就是对LaR的基本定义的理解，LaR定义的是有风险的现金流，也就是在一段期间内，有多少现金流会流出，对银行造成流动性的风险。所以正数LaR代表的是现金流流出，负数LaR代表室现金流流入。

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努力的时光都是限量版，加油！

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