NO.PZ2019070101000081
问题如下：
Most risk management models, including stress tests use historical statistical relationships to assess risk. However, the crisis has revealed serious flaws with relying solely on such an approach,which of the following statements is not true about flaws of this approach?
选项：
A.In stress testing practices, longer test durations was used while actual events showed shorter duration of stress conditions.
B.Underestimated the strong interlinkages between, for example, the lack of market liquidity and funding liquidity pressures.
C.Firms underestimated the interaction between risks and the firm-wide impact of severe stress scenarios.
D.Historical statistical relationships, such as correlations, proved to be unreliable in crisis.
解释：
A is corrct.
考点：Stress Testing
解析：
本题是选出不正确的说法。压力测试实践中往往采用较短的测试持续时间然而实际事件表明，压力条件持续时间较长，A选项说法不正确。
市场流动性不足和融资流动性压力之间的联系被低估；公司低估了风险之间的相互作用以及严重压力情景对整个公司的影响； 因为市场长期的稳定性，基于历史数据预测出来的correlation在往往会被低估，在危机发生时，资产之间的相关系数会变大；B、C、D选项均是压力测试的缺点。
