来自：FRM > 二级 > Operational and Integrated Risk Management 2020-08-18 11:29
老师 这个2/2+3是什么意思呀
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1693天前
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1693天前
jason 2020-08-18 14:28
致精进的你:
公式 liquidity coverage ratio (LCR) = (Stock of HQLA)/(Total net cash outflows over the next 30 calendar day) 先求分子HQLA，High quality liquid assets (HQLA) = Level 1 assets + Level 2 assets × (1 – haircut) = 3.0 + 2.0 × (100% - 15%) = $4.7 billion，题干中Level 2 assets (comprising Level 2A assets and any Level 2B assets permitted by the supervisor) can be included in the stock of HQLA, subject to the requirement that they comprise no more than 40% of the overall stock after haircits have been applied意思是Level 2 assets在haircits后不超过HQLA的40%，1.7的Level 2 assets不超过4.7的HQLA的40%，故Level 2 assets就是1.7，HQLA就是4.7【注：解析中2 / (3+2)=40%是为了求出Level 2 assets在haircits后正好等于HQLA的40%的话Level 2 assets等于2，即Level 2 assets最大值为2】；接下来求分母Total net cash outflows over the next 30 calendar days，题干中的Definition提示Total net cash outflows over the next 30 calendar days=Total expected cash outflow-Min{total expected cash inflows;75% of total expected cash outflows}=80*10%-Min{10,80*10%*75%}=8-6=2billion；最终得出LCR=4.7/2=235%
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