Conditional var 不是也用历史数据吗？

问题如下：

The bank has adopted a new risk policy, which requires forward-looking risk assessments in addition to the measures that look at historical risk characteristics. Management has also become very focused on tail risk since the subprime crisis and is evaluating the bank’s capital allocation to certain higher-risk lines of business. Gorver must determine what additional risk metrics to include in his risk reporting to address the new policy.

To comply with the new bank policy on risk assessment, which of the following is the best set of risk measures to add to the chief risk officer’s risk reporting?

选项：

A.

Conditional VaR, stress test, and scenario analysis

B.

Monte Carlo VaR, incremental VaR, and stress test

C.

Parametric VaR, marginal VaR, and scenario analysis

解释：

The bank policy requires the addition of forward-looking risk assessments, and management is focused on tail risk. Conditional VaR measures tail risk, and stress tests and scenario analysis subject current portfolio holdings to historical or hypothetical stress events.