FRM一級風(fēng)險管理基礎(chǔ)重點匯總-流動性緊縮

風(fēng)險管理基礎(chǔ)作為FRM一級考試中占比20%的部分，也是我們備考的重點，這一部分的特點就是多且雜，建議大家在理解的基礎(chǔ)上對定義進(jìn)行記憶，可以結(jié)合一些重點例題，加深對知識點的理解。

正保會計網(wǎng)校的老師給大家總結(jié)好了FRM風(fēng)險管理基礎(chǔ)的重要知識點和?？键c，還結(jié)合了精選例題做了細(xì)致的講解，想必一定能幫到你，一起來學(xué)習(xí)一下吧！

先來看看Alex老師的整體知識點介紹，更好理解呦！

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知識點：流動性緊縮 

Liquidity Crunch

? SIVs were typically funded short-term and relied on being able to regularly roll over short-term debt to finance their longer dated assets.

? As mortgage-backed securities began to lose value, however, the credit quality of many SIVs declined. This led to the rapid downgrading of the credit ratings of the ABCP issued by these SIVs and an increasing skepticism about pledged collateral value, which prevented a growing number of SIVs from rolling over their ABCP. Simultaneously, liquidity in the subprime-related asset markets disappeared.

?？键c：

1. 了解次貸危機演變邏輯以及危機發(fā)生時各機構(gòu)的作用。

2. 因為抵押物的質(zhì)量下降，回購和商業(yè)票據(jù)在危機中融資效果變差。

3. 央行的主要應(yīng)對措施就是通過各種工具向市場提供流動性。

例題：

In a recent report on the 2007-2009 liquidity and credit crunch, there are several concepts that describe various factors of the credit crisis.
Which of the following statements accurately defines these concepts?
A. A liquidity backstop is a temporary halt in funding liquidity to structured investment vehicles (SIVs) in order to minimize credit losses.
B. A narrowing of the bid-ask spread results in an increase in market liquidity.
C. Because of the forced sale of assets due to declining asset values, a loss spiral generates a lower new position value than a margin spiral.
D. The credit protection buyer in a credit default swap (CDS) receives cash flows from the portfolio that underlies the CDS.

【正確答案】B

【答案解析】

Bid-ask prices are inversely related to market liquidity, and as market liquidity increases, bid-ask prices narrow. Choice a is incorrect. A liquidity backstop is a revolving loan (credit line) extended by sponsor banks to structured investment vehicles to ensure continuity of funding liquidity. Choice c is incorrect. While a loss spiral is accurately described as the forced sale of assets due to a decline in asset values, it results in a higher new position value than under a margin spiral. Choice d is incorrect. Collateralized debt obligations (CDOs), not credit default swaps (CDS), pay out cash flows from a portfolio of debt instruments. The CDS protection buyer makes periodic payments to the protection seller over the life of the contract.

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