NO.PZ2023090401000032
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.
C为什么错？
