如题

问题如下：

Gorver asks Abell to draft a section of the risk report that will address the risk measures’ adequacy for capital allocation decisions. Which of the following statements should not be included in Abell’s report to management regarding the use of risk measures in capital allocation decisions?

选项：

A.

VaR measures capture the increased liquidity risk during stress periods.

B.

Stress tests and scenario analysis can be used to evaluate the effect of outlier events on each line of business.

C.

VaR approaches that can accommodate a non-normal distribution are critical to understand relative risk across lines of business.

解释：

VaR measures do not capture liquidity risk. “If some assets in a portfolio are relatively illiquid, VaR could be understated, even under normal market conditions. Additionally, liquidity squeezes are frequently associated with tail events and major market downturns, thereby exacerbating the risk”