讲义 424 页 Stress testing usually has o longer timer horizon ,

问题如下：

Question A financial institution is planning to add stressed VaR to the measures it uses to assess market risk. In preparation for this development, a risk analyst at the institution researches the differences between stressed VaR and traditional VaR, including the appropriate data, time horizons, and distributions. Which of the following is a major characteristic of stressed VaR that distinguishes it from traditional VaR?

选项：

A.

Stressed VaR is based on an unconditional loss distribution rather than a conditional loss distribution.

B.

Stressed VaR typically uses much longer time horizons, often several months or years.

C.

Stressed VaR uses a different assumed probability distribution as an input compared to traditional VaR

D.

Stressed VaR is not necessarily based on data from the immediately preceding period, unlike traditional VaR.

解释：

Explanation:

D is correct. VaR is traditionally calculated using data from the period immediately preceding the analysis. In stressed VaR, however, this data is gathered from a particularly stressful period in the past, which would not necessarily include the immediately preceding period.

A is incorrect. Stressed VaR produces a conditional loss distribution and is a conditional risk measure.

B is incorrect. Typically, the time horizon for stressed VaR is a short period (i.e., one to ten days).

C is incorrect. Stressed VaR is calculated from historical data, rather than assuming a probability distribution of losses.

Section: Valuation and Risk Models

Learning Objective:

Describe stressed VaR and stressed ES, including their advantages and disadvantages, and compare the process of determining stressed VaR and ES to that of traditional VaR and ES.

Reference: Global Association of Risk Professionals. Valuation and Risk Models. New York, NY: Pearson, 2022. Chapter 8. Stress Testing.