NO.PZ2023091701000112
问题如下：
A team of risk analysts is conducting an independent review of a recent stress test. As part of this process, the team evaluates the stress testing models used as well as the supporting assumptions in the models. Which of the following, if found in the review, should the analysts identify as the greatest deficiency relating to the models or their assumptions?
选项：
A.
Relationships between core and peripheral variables in the model are found by regressing their past behavior during stressed market conditions only.
B.Credit risk losses are modeled by mapping historical default rate data provided by credit rating agencies to estimates of gross domestic product.
C.The stress test does not account for the likely responses of other financial institutions to changes in the core variables of the test.
D.A scenario used in the stress test was developed using reverse stress testing.
解释：
C is correct. In addition to a scenario’s immediate impacts, analysts should consider its knock-on effects, or the impacts of how firms (particularly other financial institutions respond to the scenario.
A is incorrect. When using regression to determine how peripheral variables respond to changes in a scenario’s core variables, it is important to recognize that the focus is on the relationship between variables in stressed market conditions rather than normal market conditions.
B is incorrect. This is an appropriate method for modeling credit risk losses in a stress test.
D is incorrect. Reverse stress testing can be an input to the work of a stress testing committee in selecting scenarios for investigation.
老师好，什么是核心变量，什么是外围变量，能举个例子吗？
