FRM一级风险管理基础重点汇总-流动性紧缩

风险管理基础作为FRM一级考试中占比20%的部分，也是我们备考的重点，这一部分的特点就是多且杂，建议大家在理解的基础上对定义进行记忆，可以结合一些重点例题，加深对知识点的理解。

正保会计网校的老师给大家总结好了FRM风险管理基础的重要知识点和常考点，还结合了精选例题做了细致的讲解，想必一定能帮到你，一起来学习一下吧！

先来看看Alex老师的整体知识点介绍，更好理解呦！

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知识点：流动性紧缩 

Liquidity Crunch

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

Ÿ 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.

常考点：

1. 了解次贷危机演变逻辑以及危机发生时各机构的作用。

2. 因为抵押物的质量下降，回购和商业票据在危机中融资效果变差。

3. 央行的主要应对措施就是通过各种工具向市场提供流动性。

例题：

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.

【正确答案】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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